Advanced Search
MyIDEAS: Login to follow this JEL code

Research classified by Journal of Economic Literature (JEL) codes


Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G13: Contingent Pricing; Futures Pricing
Most recent items first, undated at the end.
  • 2014 When the U.S. Stock Market Becomes Extreme?
    by Aboura, Sofiane
  • 2014 Les 100 mots des marchés dérivés
    by Simon, Yves
  • 2014 Performance-Sensitive Government Bonds
    by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer
  • 2014 The impact of long-only index funds on price discovery and market performance in agricultural futures markets
    by Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg
  • 2014 The impact of fundamental and financial traders on the term structure of oil
    by Heidorn, Thomas & Mokinski, Frieder & Rühl, Christoph & Schmaltz, Christian
  • 2014 Forward-looking measures of higher-order dependencies with an application to portfolio selection
    by Brinkmann, Felix & Kempf, Alexander & Korn, Olaf
  • 2014 Portfolio optimization using forward-looking information
    by Kempf, Alexander & Korn, Olaf & Saßning, Sven
  • 2014 A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model
    by David Heath & Eckhard Platen
  • 2014 A Consistent Framework for Modelling Basis Spreads in Tenor Swaps
    by Yang Chang & Erik Schlogl
  • 2014 An Empirical Analysis of the Ross Recovery Theorem
    by Audrino, Francesco & Huitema, Robert & Ludwig, Markus
  • 2014 Implied Volatility and the Risk-Free Rate of Return in Options Markets
    by Marcelo Bianconi & Scott MacLachlan & Marco Sammon
  • 2014 Timing a Hedge Decision: The Development of a Composite Technical Indicator for White Maize
    by Susari Geldenhuys, Frans Dreyer and Chris van Heerden
  • 2014 The impact of information flow and trading activity on gold and oil futures volatility
    by Adam Clements & Neda Todorova
  • 2014 A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
    by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu
  • 2014 Entendiendo los mercados de swaps: Un enfoque de equilibrio general
    by Venegas-Martínez, Francisco
  • 2014 Analytic Approximation of Finite-Maturity Timer Option Prices
    by Li, Minqiang
  • 2014 Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
    by Li, Minqiang
  • 2014 On the Fundamental Relation Between Equity Returns and Interest Rates
    by Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw
  • 2014 Risk, Ambiguity, and the Exercise of Employee Stock Options
    by Yehuda Izhakian & David Yermack
  • 2014 Effects of Index-Fund Investing on Commodity Futures Prices
    by James D. Hamilton & Jing Cynthia Wu
  • 2014 Real Financial Market Exchange Rates and Capital Flows
    by Julian S. Leppin & Stefan Reitz
  • 2014 On the liquidity of CAC 40 index options Market
    by Alain François-Heude & Ouidad Yousfi
  • 2014 On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)
    by Philippe Bertrand & Jean-luc Prigent
  • 2014 Do futures markets help in price discovery and risk management for commodities in India?
    by Nidhi Aggarwal & Sargam Jain & Susan Thomas
  • 2014 Credit Risk Calibration based on CDS Spreads
    by Shih-Kang Chao & Wolfgang Karl Härdle & Hien Pham-Thu &
  • 2014 Simple and reliable way to compute option-based risk-neutral distributions
    by Malz, Allan M.
  • 2014 Understanding mortgage spreads
    by Boyarchenko, Nina & Fuster, Andreas & Lucca, David O.
  • 2014 A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
    by Song, Zhaogang & Xiu, Dacheng
  • 2014 QE Auctions of Treasury Bonds
    by Song, Zhaogang & Zhu, Haoxiang
  • 2014 Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
    by Gresse, Carole & Deville, Laurent & De Séverac, Béatrice
  • 2014 Samuelson hypothesis and electricity derivative markets
    by Jaeck, Edouard & Lautier, Delphine
  • 2014 Are Employee Stock Option Exercise Decisions Better Explained through the Prospect Theory?
    by Bahaji, Hamza
  • 2014 Weakening the Gain-Loss-Ratio measure to make it stronger
    by Jan Voelzke
  • 2014 Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis
    by Juan R. Hernández
  • 2014 A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
    by Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu
  • 2014 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
    by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor
  • 2014 The Optimal Hedging Ratio for Non-Ferrous Metals
    by Dinica, Mihai Cristian & Armeanu, Daniel
  • 2014 Real Options and Merchant Operations of Energy and Other Commodities
    by Secomandi, Nicola & Seppi, Duane J.
  • 2014 Valuación con opciones reales de proyectos con flujos correlacionados con fundamentales económicos y con saltos extremos Viabilidad del caso COMERCI UCB
    by Mendoza Sandoval Sergio & Cruz Ake Salvador & Venegas Martínez Francisco
  • 2014 Analysis of the Behavior of Volatility in Crude Oil Price
    by Tara Keshar Nanda Baidya & Fernando Antonio Lucena Aiube
  • 2014 IMKB’de Islem Goren Araci Kurulus Varantlari icin Etkin Fiyatlama Modelinin Belirlenmesi
    by Rifat KARAKUS & Israfil ZOR
  • 2014 On the characteristics of dynamic correlations between asset pairs
    by Jacobs, Michael & Karagozoglu, Ahmet K.
  • 2014 Bank equity risk under bailout programs of loan guarantee and/or equity capital injection
    by Lin, Jyh-Horng & Tsai, Jeng-Yan & Hung, Wei-Ming
  • 2014 Spillover effects of subprime mortgage originations: The effects of single-family mortgage credit expansion on the multifamily rental market
    by Ambrose, Brent W. & Diop, Moussa
  • 2014 Speculators, commodities and cross-market linkages
    by Büyükşahin, Bahattin & Robe, Michel A.
  • 2014 Bubbles in food commodity markets: Four decades of evidence
    by Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip
  • 2014 Currency jumps, cojumps and the role of macro news
    by Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram
  • 2014 The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
    by Loon, Yee Cheng & Zhong, Zhaodong Ken
  • 2014 Does option trading convey stock price information?
    by Hu, Jianfeng
  • 2014 Trading in derivatives when the underlying is scarce
    by Banerjee, Snehal & Graveline, Jeremy J.
  • 2014 Time-changed Lévy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
    by Leippold, Markus & Strømberg, Jacob
  • 2014 Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
    by Chung, Shing Fung & Wong, Hoi Ying
  • 2014 Close form pricing formulas for Coupon Cancellable CoCos
    by Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo
  • 2014 The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market
    by Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che
  • 2014 Catalysts for price discovery in the European Union Emissions Trading System
    by Schultz, Emma & Swieringa, John
  • 2014 The determinants of CDS spreads
    by Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri
  • 2014 Are there common factors in individual commodity futures returns?
    by Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George
  • 2014 The importance of the volatility risk premium for volatility forecasting
    by Prokopczuk, Marcel & Wese Simen, Chardin
  • 2014 Is recovery risk priced?
    by Schläfer, Timo & Uhrig-Homburg, Marliese
  • 2014 The market microstructure of the European climate exchange
    by Mizrach, Bruce & Otsubo, Yoichi
  • 2014 Volatility spreads and earnings announcement returns
    by Atilgan, Yigit
  • 2014 Unbiasedness and risk premiums in the Indian currency futures market
    by Kumar, Satish & Trück, Stefan
  • 2014 A risk-based premium: What does it mean for DB plan sponsors?
    by Chen, An & Uzelac, Filip
  • 2014 Global contagion of market sentiment during the US subprime crisis
    by Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting
  • 2014 Option pricing with stochastic liquidity risk: Theory and evidence
    by Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei
  • 2014 Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model
    by Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi
  • 2014 The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
    by Spencer, Peter
  • 2014 On the investment–uncertainty relationship: A game theoretic real option approach
    by Lukas, Elmar & Welling, Andreas
  • 2014 Option pricing under stochastic volatility and tempered stable Lévy jumps
    by Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.
  • 2014 Trend following, risk parity and momentum in commodity futures
    by Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen
  • 2014 Bidirectional causality in oil and gas markets
    by Halova Wolfe, Marketa & Rosenman, Robert
  • 2014 Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities
    by Maxwell, Christian & Davison, Matt
  • 2014 Variance trading and market price of variance risk
    by Bondarenko, Oleg
  • 2014 Reporting bias in incomplete information model
    by Peat, Maurice & Svec, Jiri & Wang, Jue
  • 2014 Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options
    by Liu, Qiang & Guo, Shuxin
  • 2014 Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
    by Dong, Yinghui & Wang, Guojing
  • 2014 Regime-dependent adjustment in energy spot and futures markets
    by Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert
  • 2014 Pricing foreign equity options with regime-switching
    by Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming
  • 2014 Calendar anomalies in cash and stock index futures: International evidence
    by Floros, Christos & Salvador, Enrique
  • 2014 Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
    by Xie, Wen-Jie & Jiang, Zhi-Qiang & Zhou, Wei-Xing
  • 2014 Volatility transmission in agricultural futures markets
    by Beckmann, Joscha & Czudaj, Robert
  • 2014 Analyses of retirement benefits with options
    by Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan
  • 2014 Quadratic hedging schemes for non-Gaussian GARCH models
    by Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo
  • 2014 Cross-hedging minimum return guarantees: Basis and liquidity risks
    by Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus
  • 2014 Valuation of stock loans with jump risk
    by Cai, Ning & Sun, Lihua
  • 2014 The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables
    by Kim, Dong H. & Stock, Duane
  • 2014 Determinants of corporate call policy for convertible bonds
    by King, Tao-Hsien Dolly & Mauer, David C.
  • 2014 Estrategia de cobertura con productos derivados para el mercado energético colombiano
    by Jhon Alexis Díaz Contreras & Gloria Inés Macías Villalba & Edgar Luna González
  • 2014 Eficiencia semifuerte del mercado internacional del azúcar entre los años 2001 y 2011
    by Julio C. Alonso & Andrés M. Arcila
  • 2014 The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling
    by Ryan Kellogg
  • 2013 Forward-looking measures of higher-order dependencies with an application to portfolio selection
    by Brinkmann, Felix & Kempf, Alexander & Korn, Olaf
  • 2013 Liability Investment with Downside Risk
    by Andrew Ang & Bingxu Chen & Suresh Sundaresan
  • 2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
    by Marcin Jaskowski & Michael McAleer
  • 2013 Option Pricing with a Dynamic Fat-Tailed Model
    by Aboura, Sofiane & Valeyre, Sébastien & Wagner, Niklas F.
  • 2013 Le rôle du marché à terme et du marché au comptant dans la formation des prix des matières premières
    by Lautier, Delphine & Lambinet, Rémy
  • 2013 Energy Finance: The case for derivative markets
    by Lautier, Delphine
  • 2013 The reactive volatility model
    by Valeyre, Sébastien & Grebenkov, Denis & Aboura, Sofiane & Liu, Qian
  • 2013 Systemic Risk and Complex Systems: A Graph-Theory Analysis
    by Lautier, Delphine & Raynaud, Franck
  • 2013 The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
    by Bicchetti, David & Maystre, Nicolas Maystre
  • 2013 A Stochastic Model for Natural Gas Consumption: An Application for Turkey
    by Ahmet GÖNCÜ & Mehmet Oğuz KARAHAN & Tolga Umut KUZUBAŞ
  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
  • 2013 Coherent Price Systems and Uncertainty-Neutral Valuation
    by Beißner, Patrick
  • 2013 Sovereign Asset Values and Implications for the Credit Market
    by Posch, Peter N & Kalteier, Eva-Maria
  • 2013 Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect
    by Adams, Zeno & Glück, Thorsten
  • 2013 Option-implied information and predictability of extreme returns
    by Vilkovz, Grigory & Xiaox, Yan
  • 2013 Reporting policies of ISPs: Do general terms and conditions (GTCs) match with the reality?
    by Grove, Nico & Agic, Damir & Sedlmeir, Joachim
  • 2013 Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference
    by da Silva, Paulo Pereira & Rebelo, Paulo Tomaz & Afonso, Cristina
  • 2013 Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten
    by Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg
  • 2013 Granularity of corporate debt
    by Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef
  • 2013 Which beta is best? On the information content of option-implied betas
    by Baule, Rainer & Korn, Olaf & Saßning, Sven
  • 2013 The behavior of the hazard rate in the Gaussian structural default model under asymmetric information
    by Peter Spencer
  • 2013 Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
    by Rafal Weron & Michal Zator
  • 2013 Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis
    by Michal Zator
  • 2013 Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees
    by Kevin Fergusson & Eckhard Platen
  • 2013 The Return-Volatility Relation in Commodity Futures Markets
    by Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To
  • 2013 The Trade-off Theory Revisited: On the Effect of Operating Leverage
    by Kristoffer Glover & Gerhard Hambusch
  • 2013 Electricity Spot and Derivatives Pricing when Markets are Interconnected
    by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
  • 2013 Electricity Derivatives Pricing with Forward-Looking Information
    by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel
  • 2013 Variance Risk Premiums in Foreign Exchange Markets
    by Ammann, Manuel & Buesser, Ralf
  • 2013 Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
    by Audrino, Francesco & Fengler, Matthias
  • 2013 On the closed-form approximation of short-time random strike options
    by Elisa Alòs & Jorge A. León
  • 2013 Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study
    by Alberto Fernández Muñoz de Morales
  • 2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
    by Marcin Jaskowski & Michael McAleer
  • 2013 A Fractionally Integrated Wishart Stochastic Volatility Model
    by Manabu Asai & Michael McAleer
  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chia-Lin Chang & David Allen & Michael McAleer
  • 2013 Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing
    by Manabu Asai & Michael McAleer
  • 2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
    by Doruk Kucuksarac & Ozgur Ozel
  • 2013 Systemic Risk Contribution of Individual Banks
    by Huseyin Cagri Akkoyun & Ramazan Karasahin & Gursu Keles
  • 2013 Price Non-Convergence in Commodities: A Case Study of the Wheat Conundrum
    by Sophie van Huellen
  • 2013 The structure of competitive equilibrium with unsecured debt
    by Gaetano Bloise
  • 2013 Default dependence structure effects on the valuation of government guarantees
    by Carlo Domenico Mottura & Luca Passalacqua
  • 2013 Did Long-Short Investors Destabilize Commodity Markets?
    by Joëlle Miffre & Chris Brooks
  • 2013 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
    by Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor
  • 2013 Price Drivers and Investment Strategies of Gold
    by Arayssi, Mahmoud
  • 2013 Discounting Cashflows from Illiquid Assets on Bank Balance Sheets
    by Nauta, Bert-Jan
  • 2013 An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies
    by Arizmendi, Luis-Felipe
  • 2013 Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis
    by So, Leh-chyan
  • 2013 Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches
    by Lee, Y. & So, Leh-chyan
  • 2013 The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
    by Nath, Golaka
  • 2013 Mental Accounting: A Closed-Form Alternative to the Black Scholes Model
    by Siddiqi, Hammad
  • 2013 Interest rate modeling under multiple discounting curves
    by García Muñoz, Luis Manuel
  • 2013 International Linkages of Agri-Processed and Energy commodities traded in India
    by Sinha, Pankaj & Mathur, Kritika
  • 2013 Specifying An Efficient Renewable Energy Feed-in Tariff
    by Farrell, Niall & Devine, Mel & Lee, William & Gleeson, James & Lyons, Seán
  • 2013 Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets
    by Fulli-Lemaire, Nicolas & Palidda, Ernesto
  • 2013 Analogy Making, Option Prices, and Implied Volatility
    by Siddiqi, Hammad
  • 2013 On the liquidity of CAC 40 index options Market
    by François-Heude, Alain & Yousfi, Ouidad
  • 2013 A Generalization of Gray and Whaley's Option
    by François-Heude, Alain & Yousfi, Ouidad
  • 2013 Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
    by Xiao, Tim
  • 2013 Funding Cost and a New Capital Model
    by Hannah, Lincoln
  • 2013 Rwanda’s involvement in Eastern DRC: A criminal real options approach
    by Cassimon, Danny & Engelen, Peter-Jan & Reyntjens, Filip
  • 2013 Mean-Reverting Logarithmic Modeling of VIX
    by Bao, Qunfang
  • 2013 On option pricing in illiquid markets with random jumps
    by El-khatib, Youssef & Hatemi-J, Abdulnasser
  • 2013 A Note on Discounting and Funding Value Adjustments for Derivatives
    by Han, Meng & He, Yeqi & Zhang, Hu
  • 2013 CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions
    by García Muñoz, Luis Manuel
  • 2013 On multi-particle Brownian survivals and the spherical Laplacian
    by B S, Balakrishna
  • 2013 Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index
    by Boleslaw Borkowski & Monika Krawiec & Yochanan Shachmurove
  • 2013 Futures price volatility in commodities markets: The role of short term vs long term speculation
    by Matteo Manera & Marcella Nicolini & Ilaria Vignati
  • 2013 Model-free Implied Volatility Index of Japanese Stock Market
    by Nattapol TAKKABUTR
  • 2013 A tractable framework for zero lower bound Gaussian term structure models
    by Leo Krippner
  • 2013 Option Prices in a Model with Stochastic Disaster Risk
    by Sang Byung Seo & Jessica A. Wachter
  • 2013 The Joint Cross Section of Stocks and Options
    by Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici
  • 2013 Tail Risk and Asset Prices
    by Bryan Kelly & Hao Jiang
  • 2013 Deflation Risk
    by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig
  • 2013 Commodity and Asset Pricing Models: An Integration
    by Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz
  • 2013 Wall Street vs. Main Street: An Evaluation of Probabilities
    by Robin L. Lumsdaine & Rogier J.D. Potter van Loon
  • 2013 Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files
    by Nicole M. Aulerich & Scott H. Irwin & Philip Garcia
  • 2013 Risk Premia in Crude Oil Futures Prices
    by James D. Hamilton & Jing Cynthia Wu
  • 2013 The Simple Economics of Commodity Price Speculation
    by Christopher R. Knittel & Robert S. Pindyck
  • 2013 A model for dependent defaults and pricing contingent claims with counterparty risk
    by Dariusz Gatarek & Juliusz Jabłecki
  • 2013 Volatility co-movements: a time scale decomposition analysis
    by Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli
  • 2013 Efficiency and unbiasedness of corn futures markets: New evidence across the financial crisis
    by Chiara Pederzoli & Costanza Torricelli
  • 2013 A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    by Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli
  • 2013 Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses
    by John T. Cuddington & Arturo L. Va'squez Cordano
  • 2013 Futures price volatility in commodities markets: The role of short term vs long term speculation
    by Matteo Manera & Marcella Nicolini & Ilaria Vignati
  • 2013 Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
    by Georges Dionne & Olfa Maalaoui Chun
  • 2013 A Fractionally Integrated Wishart Stochastic Volatility Model
    by Manabu Asai & Michael McAleer
  • 2013 Recent Developments in Financial Economics and Econometrics:An Overview
    by Chia-Lin Chang & David E Allen & Michael McAleer
  • 2013 Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
    by Manabu Asai & Michael McAleer
  • 2013 Adjusted Money's Worth Ratios in Life Annuities
    by Jaime Casassus & Eduardo Walker
  • 2013 Revenues from storage in a competitive electricity market: Empirical evidence from Great Britain
    by Monica Giulietti & Luigi Grossi
  • 2013 State Price Densities implied from weather derivatives
    by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &
  • 2013 Reference Dependent Preferences and the EPK Puzzle
    by Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer &
  • 2013 Comparative statics for real options on oil: What stylized facts to use?
    by Lund, Diderik & Nymoen, Ragnar
  • 2013 No Good Deals - No Bad Models
    by Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges
  • 2013 Textbook Estimators of Multiperiod Optimal Hedging Ratios: Methodological Aspects and Application to the European Wheat Market
    by Gianluca Stefani & Marco Tiberti
  • 2013 Arbitrage-free models of stocks and bonds
    by Durham, J. Benson
  • 2013 Monetary policy surprises, positions of traders, and changes in commodity futures prices
    by Gospodinov, Nikolay & Jamali, Ibrahim
  • 2013 Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation
    by Matteo Manera & Marcella Nicolini
  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chang, C-L. & Allen, D.E. & McAleer, M.J.
  • 2013 Faster solutions for Black zero lower bound term structure models
    by Leo Krippner
  • 2013 A tractable framework for zero-lower-bound Gaussian term structure models
    by Leo Krippner
  • 2013 Contingent Liabilities and Sovereign Risk: Evidence from Banking Sectors
    by Serkan Arslanalp & Yin Liao
  • 2013 Comovement of Corporate Bonds and Equities
    by Bao, Jack & Hou, Kewei
  • 2013 What's Beneath the Surface? Option Pricing with Multifrequency Latent States
    by Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold
  • 2013 What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds
    by Dirk Broeders & Paul Hilbers & David Rijsbergen
  • 2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
    by Marcin Jaskowski & Michael McAleer
  • 2013 A Fractionally Integrated Wishart Stochastic Volatility Model
    by Manabu Asai & Michael McAleer
  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chia-Lin Chang & David Allen & Michael McAleer
  • 2013 Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
    by Marcin Jaskowski & Michael McAleer
  • 2013 Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
    by Manabu Asai & Michael McAleer
  • 2013 A simple equilibrium model for a commodity market with spot trades and futures contracts
    by Ekeland, Ivar & Lautier, Delphine & Villeneuve, Bertrand
  • 2013 On the inefficiency of Brownian motions and heavier tailed price processes
    by Alejandro Balbás & Beatriz Balbás & Raquel Balbás
  • 2013 Carry
    by Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B.
  • 2013 Volatility Risk Premia and Exchange Rate Predictability
    by Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio
  • 2013 Dependence Calibration and Portfolio Fit with FactorBased Time Changes
    by Elisa Luciano & Marina Marena & Patrizia Semeraro
  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chia-Lin Chang & David Allen & Michael McAleer
  • 2013 Subprime borrowers, securitization and the transmission of business cycles
    by Anna Grodecka
  • 2013 On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms
    by Evangelos C. Charalambakis
  • 2013 Coherent price systems and uncertainty-neutral valuation
    by Patrick Beißner
  • 2013 The Determinants Of Cds Spreads
    by Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion
  • 2013 CoMargin
    by Selma Chaker & Nour Meddahi
  • 2013 The Financialization of Food?
    by Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe
  • 2013 Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets
    by Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI
  • 2013 The Factor Structure in Equity Options
    by Peter Christoffersen & Mathieu Fournier & Kris Jacobs
  • 2013 Rare Disasters and Credit Market Puzzles
    by Peter Christoffersen & Du Du & Redouane Elkamhi
  • 2013 Risk premia in energy markets
    by Almut E. D. Veraart & Luitgard A. M. Veraart
  • 2013 The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps
    by William Arrata & Alejandro Bernales & Virginie Coudert
  • 2013 Financial/Technical Analysis About Italian "Iv Conto Energia" For Photovoltaic Energy: A Case Study
    by Luca GRILLI & Angelo SFRECOLA
  • 2013 A Study On Efficiency Of Steel Futures Market In India
    by SURESH CHANDRA BIHARI & JAYASHREE KOTAGI
  • 2013 Valuation And Investment Profession
    by Dedi, Lidija & Giraudon, Philippe
  • 2013 Fragility of Competitive Equilibrium with Risk of Default
    by Gaetano Bloise & Pietro Reichlin & Mario Tirelli
  • 2013 Significance of Volatility in Option Pricing
    by Pochea Maria-Miruna & Filip Angela-Maria
  • 2013 Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market
    by Safi Ullah Khan & Zaheer Abbas
  • 2013 Sovereign Risk and Asset and Liability Management—Conceptual Issues
    by Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova
  • 2013 A villamos erőművek szén-dioxid-kibocsátásának modellezése reálopciók segítségével
    by Nagy, Tamás
  • 2013 Option-Implied Risk Aversion Anomalies: Evidence From Japanese Market
    by TAKKABUTR, NATTAPOL
  • 2013 Sovereign asset values and implications for the credit market
    by Kalteier, Eva-Maria & Posch, Peter N.
  • 2013 Bank capital regulation in a cap option framework
    by Tsai, Jeng-Yan & Hung, Wei-Ming
  • 2013 Futures mispricing, order imbalance, and short-selling constraints
    by Lin, Emily & Lee, Cheng-Few & Wang, Kehluh
  • 2013 Commodity futures prices: More evidence on forecast power, risk premia and the theory of storage
    by Brooks, Chris & Prokopczuk, Marcel & Wu, Yingying
  • 2013 Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market
    by Baik, Bok & Kang, Hyoung-Goo & Kim, Young Jun
  • 2013 An empirical study of credit spreads in an emerging market: The case of Korea
    by Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon
  • 2013 An uncertainty based multi-criteria ranking system for open pit mining cut-off grade strategy selection
    by Azimi, Yousuf & Osanloo, Morteza & Esfahanipour, Akbar
  • 2013 What drives corporate default risk premia? Evidence from the CDS market
    by Díaz, Antonio & Groba, Jonatan & Serrano, Pedro
  • 2013 What determines Euro area bank CDS spreads?
    by Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina
  • 2013 Liquidity risk of corporate bond returns: conditional approach
    by Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T.
  • 2013 Investment shocks and the commodity basis spread
    by Yang, Fan
  • 2013 Predictability of currency carry trades and asset pricing implications
    by Bakshi, Gurdip & Panayotov, George
  • 2013 Limits to arbitrage and hedging: Evidence from commodity markets
    by Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun
  • 2013 Valuation of VIX derivatives
    by Mencía, Javier & Sentana, Enrique
  • 2013 Systemic risk and the refinancing ratchet effect
    by Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C.
  • 2013 Cross section of option returns and idiosyncratic stock volatility
    by Cao, Jie & Han, Bing
  • 2013 Realizing smiles: Options pricing with realized volatility
    by Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide
  • 2013 Is there price discovery in equity options?
    by Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John
  • 2013 Diagnosing affine models of options pricing: Evidence from VIX
    by Li, Gang & Zhang, Chu
  • 2013 Large games with a bio-social typology
    by Khan, M. Ali & Rath, Kali P. & Sun, Yeneng & Yu, Haomiao
  • 2013 Consumption and bubbles
    by Loewenstein, Mark & Willard, Gregory A.
  • 2013 Mitigating financial fragility with Continuous Workout Mortgages
    by Shiller, Robert J. & Wojakowski, Rafał M. & Ebrahim, M. Shahid & Shackleton, Mark B.
  • 2013 Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis
    by Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing
  • 2013 Overconfident individual day traders: Evidence from the Taiwan futures market
    by Kuo, Wei-Yu & Lin, Tse-Chun
  • 2013 The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
    by Ederington, Louis H. & Guan, Wei
  • 2013 Valuing catastrophe derivatives under limited diversification: A stochastic dominance approach
    by Perrakis, Stylianos & Boloorforoosh, Ali
  • 2013 Dynamics of credit spread moments of European corporate bond indexes
    by Alizadeh, Amir H. & Gabrielsen, Alexandros
  • 2013 Sarbanes-Oxley Act and corporate credit spreads
    by Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P.
  • 2013 Pricing discrete path-dependent options under a double exponential jump–diffusion model
    by Fuh, Cheng-Der & Luo, Sheng-Feng & Yen, Ju-Fang
  • 2013 Capturing the risk premium of commodity futures: The role of hedging pressure
    by Basu, Devraj & Miffre, Joëlle
  • 2013 Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach
    by Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina
  • 2013 Hedging structured credit products during the credit crisis: A horse race of 10 models
    by Ascheberg, Marius & Bick, Björn & Kraft, Holger
  • 2013 The effects of external financing costs on investment timing and sizing decisions
    by Nishihara, Michi & Shibata, Takashi
  • 2013 Can position limits restrain ‘rogue’ trading?
    by ap Gwilym, Rhys & Ebrahim, M. Shahid
  • 2013 US presidential elections and implied volatility: The role of political uncertainty
    by Goodell, John W. & Vähämaa, Sami
  • 2013 Explaining share price disparity with parameter uncertainty: Evidence from Chinese A- and H-shares
    by Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai
  • 2013 Pricing securities with multiple risks: A case of exchangeable debt
    by Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan
  • 2013 Ironing out the kinks in executive compensation: Linking incentive pay to average stock prices
    by Tian, Yisong S.
  • 2013 Product market competition and credit risk
    by Huang, Hsing-Hua & Lee, Han-Hsing
  • 2013 Seasonality and the valuation of commodity options
    by Back, Janis & Prokopczuk, Marcel & Rudolf, Markus
  • 2013 Asset financing with credit risk
    by Golbeck, Steven & Linetsky, Vadim
  • 2013 Static hedging and pricing American knock-in put options
    by Chung, San-Lin & Shih, Pai-Ta & Tsai, Wei-Che
  • 2013 Multi-stage product development with exploration, value-enhancing, preemptive and innovation options
    by Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos
  • 2013 Liquidity commonality in commodities
    by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat
  • 2013 The information content of Eonia swap rates before and during the financial crisis
    by Hernandis, Lucía & Torró, Hipòlit
  • 2013 A general closed-form spread option pricing formula
    by Caldana, Ruggero & Fusai, Gianluca
  • 2013 A market-based approach to sector risk determinants and transmission in the euro area
    by Saldías, Martín
  • 2013 VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
    by Lin, Yueh-Neng
  • 2013 Returns and option activity over the option-expiration week for S&P 100 stocks
    by Stivers, Chris & Sun, Licheng
  • 2013 Sovereign credit spreads
    by Uhrig-Homburg, Marliese
  • 2013 Pricing and static hedging of American-style options under the jump to default extended CEV model
    by Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro
  • 2013 Smiles all around: FX joint calibration in a multi-Heston model
    by De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino
  • 2013 Credit default swap spreads and variance risk premia
    by Wang, Hao & Zhou, Hao & Zhou, Yi
  • 2013 A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries
    by Liu, Tengdong & Hammoudeh, Shawkat & Thompson, Mark A.
  • 2013 Stochastic modeling and fair valuation of drawdown insurance
    by Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia
  • 2013 Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach
    by Fard, Farzad Alavi & Siu, Tak Kuen
  • 2013 Valuing equity-linked death benefits in jump diffusion models
    by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang
  • 2013 The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design
    by Eling, Martin & Holder, Stefan
  • 2013 Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
    by Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka
  • 2013 Control variates and conditional Monte Carlo for basket and Asian options
    by Dingeç, Kemal Dinçer & Hörmann, Wolfgang
  • 2013 Optimal decision on dynamic insurance price and investment portfolio of an insurer
    by Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai
  • 2013 Pricing European options on deferred annuities
    by Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael
  • 2013 Pricing inflation products with stochastic volatility and stochastic interest rates
    by Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.
  • 2013 Analysis of DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000 ETFs and their influence on price discovery
    by Ivanov, Stoyu I. & Jones, Frank J. & Zaima, Janis K.
  • 2013 Impact of volatility estimation method on theoretical option values
    by Borkowski, Bolesław & Krawiec, Monika & Shachmurove, Yochanan
  • 2013 Systemic risk analysis using forward-looking Distance-to-Default series
    by Saldías, Martín
  • 2013 Executive compensation, risk taking and the state of the economy
    by Raviv, Alon & Sisli-Ciamarra, Elif
  • 2013 Is warrant really a derivative? Evidence from the Chinese warrant market
    by Chang, Eric C. & Luo, Xingguo & Shi, Lei & Zhang, Jin E.
  • 2013 Simulated testing of nonparametric measure changes for hedging European options
    by Smith, Godfrey
  • 2013 A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility
    by Chen, Rui & Du, Ke
  • 2013 Do long-short speculators destabilize commodity futures markets?
    by Miffre, Joëlle & Brooks, Chris
  • 2013 Predicting the limit-hit frequency in futures contracts
    by Levy, Tamir & Qadan, Mahmod & Yagil, Joseph
  • 2013 Pricing of derivatives on commodity indices
    by Rauch, Johannes & Krayzler, Mikhail & Brunner, Bernhard & Zagst, Rudi
  • 2013 Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
    by Kaeck, Andreas & Alexander, Carol
  • 2013 Credit risk, valuation and fundamental analysis
    by Realdon, Marco
  • 2013 A leader of the world commodity futures markets in the making? The case of China's commodity futures
    by Fung, Hung-Gay & Tse, Yiuman & Yau, Jot & Zhao, Lin
  • 2013 Humps in the volatility structure of the crude oil futures market: New evidence
    by Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong
  • 2013 A model for hedging load and price risk in the Texas electricity market
    by Coulon, Michael & Powell, Warren B. & Sircar, Ronnie
  • 2013 Quantitative analysis of feasibility of hydrous ethanol futures contracts in Brazil
    by Quintino, Derick David & David, Sergio Adriani
  • 2013 Selective hedging in hydro-based electricity companies
    by Sanda, Gaute Egeland & Olsen, Eirik Tandberg & Fleten, Stein-Erik
  • 2013 On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets
    by Benth, Fred Espen & Taib, Che Mohd Imran Che
  • 2013 Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
    by Lutz, Benjamin Johannes & Pigorsch, Uta & Rotfuß, Waldemar
  • 2013 The stochastic seasonal behavior of energy commodity convenience yields
    by Mirantes, Andrés García & Población, Javier & Serna, Gregorio
  • 2013 An empirical study of the information premium on electricity markets
    by Benth, Fred Espen & Biegler-König, Richard & Kiesel, Rüdiger
  • 2013 Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany
    by Kalantzis, Fotis G. & Milonas, Nikolaos T.
  • 2013 Valuation of collateralized debt obligations with hierarchical Archimedean copulae
    by Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap
  • 2013 An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
    by Li, Minqiang
  • 2013 No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options
    by Kim, Namhyoung & Lee, Jaewook
  • 2013 Semi-parametric estimation of American option prices
    by Gagliardini, Patrick & Ronchetti, Diego
  • 2013 Large distributional games with traits
    by Khan, M. Ali & Rath, Kali P. & Yu, Haomiao & Zhang, Yongchao
  • 2013 Measuring the stance of monetary policy in zero lower bound environments
    by Krippner, Leo
  • 2013 High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables
    by Araújo Santos, Paulo & Fraga Alves, Isabel & Hammoudeh, Shawkat
  • 2013 Pricing options on stocks denominated in different currencies: Theory and illustrations
    by Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum
  • 2013 Day-of-the-week effect on the VIX. A parsimonious representation
    by Gonzalez-Perez, Maria T. & Guerrero, David E.
  • 2013 Determinants of credit spreads: The role of ambiguity and information uncertainty
    by Guo, Liang
  • 2013 Price and volatility dynamics between securitized real estate spot and futures markets
    by Shi, Jing & Xu, Tracy
  • 2013 Executive bonus compensation when abnormal earnings and the state of the economy are correlated
    by Kim, Hwa-Sung
  • 2013 Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets
    by Kaeck, Andreas
  • 2013 Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
    by Beveridge, Christopher & Joshi, Mark & Tang, Robert
  • 2013 Asian and Australian options: A common perspective
    by Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai
  • 2013 Pricing Parisian and Parasian options analytically
    by Zhu, Song-Ping & Chen, Wen-Ting
  • 2013 A flexible matrix Libor model with smiles
    by Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino
  • 2013 Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
    by Schlögl, Erik
  • 2013 An inverse finite element method for pricing American options
    by Zhu, Song-Ping & Chen, Wen-Ting
  • 2013 Option pricing with discrete time jump processes
    by Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo
  • 2013 Macro-hedging for commodity exporters
    by Borensztein, Eduardo & Jeanne, Olivier & Sandri, Damiano
  • 2013 Production and hedging implications of executive compensation schemes
    by Akron, Sagi & Benninga, Simon
  • 2013 Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India
    by Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj
  • 2013 Asimetría y curtosis en el modelo binomial para valorar opciones reales: caso de aplicación para empresas de base tecnológica
    by Gastón Silverio Milanesi
  • 2013 Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano
    by Luis Guillermo Herrera Cardona & Darwin Cárdenas Giraldo
  • 2013 Provocări Implicate De Evaluarea Companiilor
    by Ludmila D. SOBOL
  • 2013 Default and liquidity regimes in the bond market during the 2002-2012 period
    by Georges Dionne & Olfa Maalaoui Chun
  • 2013 The Overnight Currency Swap Rates and ISE Overnight Repo Rates
    by Doruk KUCUKSARAC & Ozgur OZEL
  • 2013 Law and Finance: The Case of Constructive Sales
    by Thomas J. Brennan
  • 2012 Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063)
    by Pelsser, A. & Stadje, M.A.
  • 2012 High dimensionality in finance: a graph-theory analysis
    by Raynaud, Franck & Lautier, Delphine
  • 2012 Leverage and Financial Instability
    by A. Smirnov.
  • 2012 Vorschlag eines Bewertungskonzepts von Zertifikaten
    by Armin Varmaz & Christian Fieberg
  • 2012 The forward premium puzzle and latent factors day by day
    by Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Casper
  • 2012 The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
    by Schuster, Philipp & Uhrig-Homburg, Marliese
  • 2012 Network neutrality and consumer discrimination: Comparing ISP's GTCs and DPI application
    by Grove, Nico & Agic, Damir & Sedlmeir, Joachim
  • 2012 A parsimonious model for intraday European option pricing
    by Scalas, Enrico & Politi, Mauro
  • 2012 Fixed income strategies for trading and for asset management
    by Tinschert, Jonas & Cremers, Heinz
  • 2012 Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?
    by Schmidt, Wolfgang M.
  • 2012 A partially linear approach to modelling the dynamics of spot and futures prices
    by Gaul, Jürgen & Theissen, Erik
  • 2012 Portfolioallokation: Einbezug verschiedener Assetklassen
    by Herz, Christian & Neunert, Daniela & Will, Sebastian & Wolf, Niko J. & Zwick, Tobias
  • 2012 Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators
    by Marcin Magdziarz & Janusz Gajda
  • 2012 The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
    by Stefan Trück & Wolfgang Härdle & Rafal Weron
  • 2012 Extracting information on implied volatilities and discrete dividends from American options prices
    by Martina Nardon & Paolo Pianca
  • 2012 Prospect theory: An application to European option pricing
    by Martina Nardon & Paolo Pianca
  • 2012 Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting
    by Kristoffer Glover & Gerhard Hambusch
  • 2012 Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
    by Jan Baldeaux & Alexander Badran
  • 2012 Alternative Term Structure Models for Reviewing Expectations Puzzles
    by Christina Nikitopoulos-Sklibosios & Eckhard Platen
  • 2012 Modelling Default Correlations in a Two-Firm Model with Dynamic Leverage Ratios
    by Carl Chiarella & Chi-Fai Lo & Ming Xi Huang
  • 2012 The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design
    by Eling, Martin & Holder, Stefan
  • 2012 Calibration of stochastic volatility models via second order approximation: the Heston model case
    by Elisa Alòs & Rafael De Santiago & Josep Vives
  • 2012 Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
    by Marcin Jaskowski & Michael McAleer
  • 2012 Double Asymptotics for Explosive Continuous Time Models
    by Xiaohu Wang & Jun Yu
  • 2012 Large Distributional Games with Traits
    by M. Ali Khan & Kali P. Rath & Haomiao Yu & Yongchao Zhang
  • 2012 Large Games with a Bio-Social Typology
    by M. Ali Khan & Kali P. Rath & Yeneng Sun & Haomiao Yu
  • 2012 Pricing Synthetic CDOs Using a Three Regime Random-Factor-Loading Model
    by Philip Messow
  • 2012 Pricing Decisions and Insider Trading in Horse Betting Markets
    by A. SCHNYTZER & V. MAKROPOULOU & M. LAMERS
  • 2012 Hedging through a Limit Order Book with Varying Liquidity
    by Rossella Agliardi & Ramazan Gençay
  • 2012 The Informational Role of Spot Prices and Inventories
    by Smith, James L. & Thompson, Rex
  • 2012 Average Portfolio Insurance Strategies
    by Jacques Pézier & Johanna Scheller
  • 2012 A General Approach to Real Option Valuation with Applications to Real Estate Investments
    by Carol Alexander & Xi Chen
  • 2012 Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés
    by Choy, Marylin & Cerna, Jorge
  • 2012 Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement
    by Jean Cordier & Alexandre Gohin
  • 2012 Volatility Impact of Stock Index Futures Trading - A Revised Analysis
    by Wagner, Helmut & Matanovic, Eva
  • 2012 Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
    by Huang, Huichou & MacDonald, Ronald
  • 2012 Why African Stock Markets Should Formally Harmonise and Integrate their Operations
    by Ntim, Collins G
  • 2012 Markets Evolution After the Credit Crunch
    by Bianchetti, Marco & Carlicchi, Mattia
  • 2012 Linepack storage valuation under price uncertainty
    by Arvesen, Øystein & Medbø, Vegard & Fleten, Stein-Erik & Tomasgard, Asgeir & Westgaard, Sjur
  • 2012 Why Do Financial Intermediaries Buy Put Options from Companies?
    by Gyoshev, Stanley & Kaplan, Todd R. & Szewczyk, Samuel & Tsetsekos, George
  • 2012 Swapping Headline for Core Inflation: An Asset Liability Management Approach
    by Fulli-Lemaire, Nicolas & Palidda, Ernesto
  • 2012 Collateral choice and the fundamental theorem of asset pricing
    by Luis Manuel, García Muñoz
  • 2012 Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
    by Marco, Bianchetti & Mattia, Carlicchi
  • 2012 Arbitrarily Fast CRR Schemes
    by Leduc, Guillaume
  • 2012 European Option General First Order Error Formula
    by Leduc, Guillaume
  • 2012 Sovereign default Risk in the Euro-Periphery and the Euro-Candidate Countries
    by Gabrisch, Hubert & Orlowski, Lucjan T. & Pusch, Toralf
  • 2012 Do financial investors affect the price of wheat?
    by Girardi, Daniele
  • 2012 Futures basis, inventory and commodity price volatility: An empirical analysis
    by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese
  • 2012 The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data
    by Bicchetti, David & Maystre, Nicolas
  • 2012 Mathematical analysis and numerical methods for pricing pension plans allowing early retirement
    by Calvo-Garrido, Maria del Carmen & Pascucci, Andrea & Vázquez Cendón, Carlos
  • 2012 Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
    by Matteo Manera & Marcella Nicolini & Ilaria Vignati
  • 2012 Long memory and Periodicity in Intraday Volatility
    by Eduardo Rossi & Dean Fantazzini
  • 2012 The Determinants of Extreme Commodity Prices
    by Karlygash Kuralbayeva & Samuel Malone
  • 2012 The effects of external financing costs on investment timing and sizing decisions
    by Michi NISHIHARA & Takashi SHIBATA
  • 2012 Measuring the stance of monetary policy in zero lower bound environments
    by Leo Krippner
  • 2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound
    by Leo Krippner
  • 2012 Embedded Leverage
    by Andrea Frazzini & Lasse H. Pedersen
  • 2012 Tail Risk in Momentum Strategy Returns
    by Kent Daniel & Ravi Jagannathan & Soohun Kim
  • 2012 Parametric Inference and Dynamic State Recovery from Option Panels
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov
  • 2012 Internet, noise trading and commodity prices
    by Massimo PERI & Daniela VANDONE & Lucia BALDI
  • 2012 On the Investment-Uncertainty Relationship: A Game Theoretic Real Option Approach
    by Elmar Lukas & Andreas Welling
  • 2012 Model Implied Credit Spreads
    by Gunnar Grass
  • 2012 Equity options, credit default swaps e leverage: un semplice modello a volatilita' stocastica per i derivati azionari e creditizi
    by Gaia Barone
  • 2012 The Market Microstructure of the European Climate Exchange
    by Yoichi Otsubo & Bruce Mizrach
  • 2012 The Market Microstructure of the European Climate Exchange
    by Yoichi Otsubo & Bruce Mizrach
  • 2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
    by Yoichi Otsubo
  • 2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
    by Yoichi Otsubo
  • 2012 Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency
    by Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff
  • 2012 Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency
    by Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff
  • 2012 Estimating implied recovery rates from the term structure of CDS spreads
    by Marcin Jaskowski & Michael McAleer
  • 2012 The Puzzle of Index Option Returns
    by George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov
  • 2012 Recovering Delisting Returns of Hedge Funds
    by James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova
  • 2012 Volatility Spillover in the Foreign Exchange Market: The Indian Experience
    by Saurabh Ghosh
  • 2012 Market efficiency of commodity futures in India
    by Inoue, Takeshi & Hamori, Shigeyuki
  • 2012 Efficient Pricing of European-Style Options Under Heston's Stochastic Volatility Model
    by Zhylyevskyy, Oleksandr
  • 2012 Regulations and price discovery: oil spot and futures markets
    by Ashima Goyal & Shruti Tripathi
  • 2012 Credit Risk Contagion and the Global Financial Crisis
    by Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov
  • 2012 A Framework for Extracting the Probability of Default from Stock Option Prices
    by Azusa Takeyama & Nick Constantinou & Dmitri Vinogradov
  • 2012 Effectiveness of Weather Derivatives as a Cross-Hedging Instrument against Climate Change: The Cases of Reservoir Water Allocation Management in Guanajuato, Mexico and Lambayeque, Peru
    by Miriam Juarez-Torres & Leonardo Sanchez-Aragon
  • 2012 Implied Basket Correlation Dynamics
    by Wolfgang Karl Härdle & Elena Silyakova & &
  • 2012 Option calibration of exponential Lévy models: Implementation and empirical results
    by Jacob Söhl & Mathias Trabs
  • 2012 Confidence sets in nonparametric calibration of exponential Lévy models
    by Jakob Söhl
  • 2012 A Quasi-Bounded Target Zone Model - Theory and Application to Hong Kong Dollar
    by C. F. Lo & C. H. Hui & S. W. Chu & T. Fong
  • 2012 What Makes the VIX Tick?
    by Warren Bailey & Lin Zheng & Yinggang Zhou
  • 2012 Relaxing Competition through Speculation: Committing to a Negative Supply Slope
    by Holmberg, Pär & Willems, Bert
  • 2012 A Markov Copula Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries
    by Bielecki, T.R. & Cousin, A. & Crépey, S. & Herbertsson, Alexander
  • 2012 The Relative Contemporaneous Information Response. A New Cointegration-Based Measure of Price Discovery
    by Helder Sebastião
  • 2012 Microstructure effect on firm’s volatility risk
    by Flavia Barsotti & Simona Sanfelici
  • 2012 Optimal Capital Structure with Endogenous Default and Volatility Risk
    by Flavia Barsotti
  • 2012 Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach
    by Matteo Manera & Marcella Nicolini & Ilaria Vignati
  • 2012 Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia
    by Andrea Vedolin
  • 2012 Measuring the stance of monetary policy in zero lower bound environments
    by Leo Krippner
  • 2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)
    by Leo Krippner
  • 2012 Convertible Bonds and Bank Risk-Taking
    by Natalya Martynova & Enrico Perotti
  • 2012 Relaxing Competition through Speculation: Committing to a Negative Supply Slope
    by Holmberg, P. & Willems, Bert
  • 2012 Relaxing Competition through Speculation: Committing to a Negative Supply Slope
    by Holmberg, P. & Willems, Bert
  • 2012 Cumulative Prospect Theory, employee exercise behaviour and stock options cost assessment
    by Bahaji, Hamza
  • 2012 Managing Commodity Risk : Can Sovereign Funds Help ?
    by Brière, Marie
  • 2012 Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs
    by Lépinette-Denis, Emmanuel & Kabanov, Yuri
  • 2012 An Introduction to Particle Methods with Financial Applications
    by Carmona, René & Del Moral, Pierre & Hu, Peng & Oudjane, Nadia
  • 2012 The Market Microstructure of the European Climate Exchange
    by Yoichi Otsubo & Bruce Mizrach
  • 2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
    by Yoichi Otsubo
  • 2012 Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency
    by Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff
  • 2012 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
    by Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn
  • 2012 The asymmetric commodity inventory effect on the optimal hedge ratio
    by CARPANTIER, Jean-François & SAMKHARADZE, Besik
  • 2012 Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results
    by Javier Orlando Pantoja Robayo & Andrea Roncoroni
  • 2012 Implied probabilities of default from Colombian money market spreads: The Merton Model under equity market informational constraints
    by Carlos León
  • 2012 Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation
    by A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander
  • 2012 Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic
    by Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek
  • 2012 Risk Management and Financial Derivatives: An Overview
    by Shawkat Hammoudeh & Michael McAleer
  • 2012 Sovereign default and macroeconomic tipping points
    by Joy, Mark
  • 2012 Relaxing competition through speculation: Committing to a negative supply slope
    by Holmberg, P. & Willems, B.
  • 2012 Bank stability and market discipline: The effect of contingent capital on risk taking and default probability
    by Jens Hilscher & Alon Raviv
  • 2012 Inflation Derivatives Under Inflation Target Regimes
    by Mordecai Avriel & Jens Hilscher & Alon Raviv
  • 2012 Ambiguity Aversion and Variance Premium
    by Jianjun Miao & Bin Wei & Hao Zhou
  • 2012 Interaction between Single Stock Futures and the Underlying Securities: A Cross-Country Analysis
    by Evren Arik & Elif Mutlu
  • 2012 Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
    by de Vincent-Humphreys, Rupert & Noss, Joseph
  • 2012 Using Merton model: an empirical assessment of alternatives
    by Zvika Afik & Ohad Arad & Koresh Galil
  • 2012 Asset Pricing with Second-Order Esscher Transforms
    by Monfort, A. & Pegoraro, F.
  • 2012 Macro-Prudential Policy and the Conduct of Monetary Policy
    by Beau, D. & Clerc, L. & Mojon, B.
  • 2012 Price as a choice under nonstochastic randomness in finance
    by Y, Ivanenko. & B, Munier.
  • 2012 The role of financial investments in agricultural commodity derivatives markets
    by Alessandro Borin & Virginia Di Nino
  • 2012 Valuation of vix derivatives
    by Javier Mencía & Enrique Sentana
  • 2012 Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
    by Jean-Sébastien Fontaine
  • 2012 The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
    by Peter Christoffersen & Bruno Feunou & Kris Jacobs & Nour Meddahi
  • 2012 Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    by Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap
  • 2012 Pricing European Options on Deferred Insurance
    by Jonathan Ziveyi & Craig Blackburn & Michael Sherris
  • 2012 Stock Return and Cash Flow Predictability: The Role of Volatility Risk
    by Tim Bollerslev & Lai Xu & Hao Zhou
  • 2012 GARCH Option Valuation: Theory and Evidence
    by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai
  • 2012 Commodity derivatives pricing with inventory effects
    by Christian Bach & Matt P. Dziubinski
  • 2012 A contribution in stochastic control applied to finance and insurance
    by Moreau, Ludovic
  • 2012 Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets
    by P. Srinivasan & P. Ibrahim
  • 2012 Breaking Through Risk Management, a Derivative for the Leasing Industry
    by Prado, Sylvain Michael & Ananth, Ram
  • 2012 Volatility Regimes For The Vix Index
    by JACINTO MARABEL ROMO
  • 2012 Do financial investors affect the price of wheat?
    by Daniele Girardi
  • 2012 Testing for Sibex Market’s Long-Term Memory
    by Pochea Maria-Miruna
  • 2012 Valuación financiera de proyectos de inversión en nuevas tecnologías con opciones reales
    by Álvarez Echeverría Francisco & López Sarabia Pablo & Venegas Martínez Francisco
  • 2012 Extracting Deflation Probability Forecasts from Treasury Yields
    by Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch
  • 2012 Does It Matter Who Trades Energy Derivatives?
    by Bahattin Büyüksahin & Michel A. Robe
  • 2012 Speculation, Returns, Volume and Volatility in Commodities Futures Markets
    by Andrea Bastianin & Matteo Manera & Marcella Nicolini & Ilaria Vignati
  • 2012 Market Application of the Fuzzy-Stochastic Approach in the Heston Option Pricing Model
    by Gianna Figa-Talamanca & Maria Letizia Guerra
  • 2012 Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?
    by Bala Batavia & Nandakumar Parameswar & Cheick Wagué
  • 2012 Valuación económica de proyectos energéticos mediante opciones reales: el caso de energía nuclear en México
    by Francisco Álvarez Echeverría & Pablo López Sarabia & Francisco Venegas-Martínez
  • 2012 Real option valuation of abandoned farmland
    by Nishihara, Michi
  • 2012 Debt reorganization strategies with complete verification under information asymmetry
    by Shibata, Takashi & Tian, Yuan
  • 2012 Call-pricing equity returns and default risks of entry mode with brand perception in retail banking
    by Tsai, Jeng-Yan & Chang, Chuen-Ping
  • 2012 Empirical estimation of the option premium for residential redevelopment
    by Clapp, John M. & Bardos, Katsiaryna Salavei & Wong, S.K.
  • 2012 Efficient growth boundaries in the presence of population externalities and stochastic rents
    by Jou, Jyh-Bang
  • 2012 The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study
    by Siddiqi, Hammad
  • 2012 Pinning in the S&P 500 futures
    by Golez, Benjamin & Jackwerth, Jens Carsten
  • 2012 Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
    by Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat
  • 2012 The option to stock volume ratio and future returns
    by Johnson, Travis L. & So, Eric C.
  • 2012 Limited arbitrage between equity and credit markets
    by Kapadia, Nikunj & Pu, Xiaoling
  • 2012 What does futures market interest tell us about the macroeconomy and asset prices?
    by Hong, Harrison & Yogo, Motohiro
  • 2012 U.S. stock market crash risk, 1926–2010
    by Bates, David S.
  • 2012 Pricing of commercial real estate securities during the 2007–2009 financial crisis
    by Driessen, Joost & Van Hemert, Otto
  • 2012 Arbitrage crashes and the speed of capital
    by Mitchell, Mark & Pulvino, Todd
  • 2012 Time series momentum
    by Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje
  • 2012 Endogenous liquidity in credit derivatives
    by Qiu, Jiaping & Yu, Fan
  • 2012 Counterparty credit risk and the credit default swap market
    by Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A.
  • 2012 CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
    by Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi
  • 2012 Rational asset pricing bubbles and portfolio constraints
    by Hugonnier, Julien
  • 2012 Conservative traders, natural selection and market efficiency
    by Luo, Guo Ying
  • 2012 Anchoring bias in the TARP warrant negotiations
    by Wilson, Linus
  • 2012 Derivatives traders’ reaction to mispricing in the underlying equity
    by Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi
  • 2012 Real options and earnings-based bonus compensation
    by Huang, Hsing-Hua & Huang, Hongming & Shih, Pai-Ta
  • 2012 Volatility spillovers and the effect of news announcements
    by Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George
  • 2012 Asset pricing with Second-Order Esscher Transforms
    by Monfort, Alain & Pegoraro, Fulvio
  • 2012 Endogenizing exogenous default barrier models: The MM algorithm
    by Forte, Santiago & Lovreta, Lidija
  • 2012 Keep on smiling? The pricing of Quanto options when all covariances are stochastic
    by Branger, Nicole & Muck, Matthias
  • 2012 The term structure of illiquidity premia
    by Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese
  • 2012 When are path-dependent payoffs suboptimal?
    by Kassberger, Stefan & Liebmann, Thomas
  • 2012 Exploring the role of the realized return distribution in the formation of the implied volatility smile
    by Chalamandaris, Georgios & Rompolis, Leonidas S.
  • 2012 Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis
    by Rittler, Daniel
  • 2012 A comparative study of the probability of default for global financial firms
    by Câmara, António & Popova, Ivilina & Simkins, Betty
  • 2012 Option-implied volatility factors and the cross-section of market risk premia
    by Li, Junye
  • 2012 Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
    by Beliaeva, Natalia & Nawalkha, Sanjay
  • 2012 Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions
    by Kaeck, Andreas & Alexander, Carol
  • 2012 Corporate taxes, strategic default, and the cost of debt
    by Nejadmalayeri, Ali & Singh, Manohar
  • 2012 30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements
    by Smales, Lee A.
  • 2012 The options market response to accounting earnings announcements
    by Truong, Cameron & Corrado, Charles & Chen, Yangyang
  • 2012 Valuing equity-linked death benefits and other contingent options: A discounted density approach
    by Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang
  • 2012 Dynamic hedging of conditional value-at-risk
    by Melnikov, Alexander & Smirnov, Ivan
  • 2012 An investor sentiment barometer — Greek Implied Volatility Index (GRIV)
    by Siriopoulos, Costas & Fassas, Athanasios
  • 2012 Escaping TARP
    by Wilson, Linus & Wu, Yan Wendy
  • 2012 Stock option contract adjustments: The case of special dividends
    by Barraclough, Kathryn & Stoll, Hans R. & Whaley, Robert E.
  • 2012 Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008
    by Birru, Justin & Figlewski, Stephen
  • 2012 The relationship between reciprocal currency futures prices
    by Bick, Avi
  • 2012 Barrier option pricing for exchange rates under the Levy–HJM processes
    by Hsu, Pao-Peng & Chen, Ying-Hsiu
  • 2012 Option pricing and ARCH processes
    by Zumbach, Gilles
  • 2012 Discrete time hedging with liquidity risk
    by Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping
  • 2012 Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
    by Jarrow, Robert & Protter, Philip
  • 2012 A jump-diffusion approach to modelling vulnerable option pricing
    by Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin
  • 2012 Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage
    by Lukas, Elmar & Welling, Andreas
  • 2012 Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis
    by Tao, Juan & Green, Christopher J.
  • 2012 Short-sale constraints and efficiency of the spot–futures dynamics
    by McMillan, David G. & Philip, Dennis
  • 2012 A contingent claim analysis of sunflower management under board monitoring and capital regulation
    by Tsai, Jeng-Yan & Lin, Jyh-Horng
  • 2012 Market efficiency and risk premia in short-term forward prices
    by Haugom, Erik & Ullrich, Carl J.
  • 2012 Clustering in crude oil prices and the target pricing zone hypothesis
    by Bharati, Rakesh & Crain, Susan J. & Kaminski, Vincent
  • 2012 Integration of the global carbon markets
    by Mizrach, Bruce
  • 2012 Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
    by Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar
  • 2012 Testing the Masters Hypothesis in commodity futures markets
    by Irwin, Scott H. & Sanders, Dwight R.
  • 2012 Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies
    by Sadorsky, Perry
  • 2012 How much should we pay for interconnecting electricity markets? A real options approach
    by Cartea, Álvaro & González-Pedraz, Carlos
  • 2012 How to allocate forward contracts: The case of electricity markets
    by de Frutos, María-Ángeles & Fabra, Natalia
  • 2012 Gauging potential sovereign risk contagion in Europe
    by Fong, Tom Pak Wing & Wong, Alfred Y-T.
  • 2012 Futures basis, inventory and commodity price volatility: An empirical analysis
    by Symeonidis, Lazaros & Prokopczuk, Marcel & Brooks, Chris & Lazar, Emese
  • 2012 The impact of convertible debt financing on investment timing
    by Yagi, Kyoko & Takashima, Ryuta
  • 2012 Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
    by Bao, Qunfang & Chen, Si & Li, Shenghong
  • 2012 Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
    by Lin, Yueh-Neng & Chang, Chien-Hung
  • 2012 A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
    by Cheng, Jun & Ibraimi, Meriton & Leippold, Markus & Zhang, Jin E.
  • 2012 Fair demographic risk sharing in defined contribution pension systems
    by Gabay, Daniel & Grasselli, Martino
  • 2012 The dynamics of mergers and acquisitions in oligopolistic industries
    by Hackbarth, Dirk & Miao, Jianjun
  • 2012 Good timing: The economics of optimal stopping
    by Davis, Graham A. & Cairns, Robert D.
  • 2012 Evaluating callable and putable bonds: An eigenfunction expansion approach
    by Lim, Dongjae & Li, Lingfei & Linetsky, Vadim
  • 2012 Valuation of power options under Heston's stochastic volatility model
    by Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk
  • 2012 Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle
    by Barinov, Alexander
  • 2012 How should firms selectively hedge? Resolving the selective hedging puzzle
    by Wojakowski, Rafał M.
  • 2012 Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis
    by Saban Celik
  • 2012 A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions
    by Josep Maria Puigvert-Gutiérrez & Rupert de Vincent-Humphreys
  • 2012 Commodity Investing
    by K. Geert Rouwenhorst & Ke Tang
  • 2012 Econometric Analysis Regarding The Dependence Of The Futures Price, The Underlying Asset And The Robor
    by Mircea Gabriel Ciolpan & Jenica Popescu
  • 2012 Valuation of a Hydro-Electric Power Project in Emerging Markets: An Application of Real Options
    by Richard Ebil Ottoo
  • 2012 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    by Yacine A�t-Sahalia & Jean Jacod
  • 2012 Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes
    by Ana Fostel & John Geanakoplos
  • 2011 Portfolio optimization using forward-looking information
    by Kempf, Alexander & Korn, Olaf & Saßning, Sven
  • 2011 Time-Consistent and Market-Consistent Evaluations (replaced by CentER DP 2012-086)
    by Pelsser, A. & Stadje, M.A.
  • 2011 Incentives from stock option grants: a behavioral approach
    by Bahaji, Hamza
  • 2011 Inflation et désinflation
    by Bezbakh, Pierre
  • 2011 A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration
    by Huault, Isabelle & Rainelli, Hélène
  • 2011 Incentives from stock option grants: a behavioral approach
    by Bahaji, Hamza
  • 2011 Options introduction and volatility in the EU ETS
    by Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît
  • 2011 A Finite-Dimensional Approximation for Pricing Moving Average Options
    by Bernhart, Marie & Tankov, Peter & Warin, Xavier
  • 2011 The Relation Between Oil and Gas Returns: a Factor Analysis
    by Sévi, Benoît & Le Pen, Yannick & Chevallier, Julien & Bunn, Derek
  • 2011 Incentives from stock option grants: a behavioral approach
    by Bahaji, Hamza
  • 2011 The dynamics of mergers and acquisitions in oligopolistic industries
    by Jianjun Miao & Dirk Hackbarth
  • 2011 Sentimental Preferences and the Organizational Regime of Betting Markets
    by Egon Franck & Erwin Verbeek & Stephan Nüesch
  • 2011 The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening
    by Chiara Coluzzi
  • 2011 A General Structural Approach For Credit Modeling Under Stochastic Volatility
    by Escobar, Marcos & Friederich, Tim & Seco, Luis & Zagst, Rudi
  • 2011 A Stochastic Programming Model to Minimize Volume Liquidity Risk in Commodity Trading
    by Fragniere, Emmanuel & Markov, Iliya
  • 2011 Interest Rates After the Credit Crunch: Markets and Models Evolution
    by Bianchetti, Marco & Carlicchi, Mattia
  • 2011 Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel
    by Sebastian Lobe & Klaus Röder
  • 2011 Pricing of temperature-based weather options for Turkey
    by Ahmet GÖNCÜ & Mehmet Oguz KARAHAN & Tolga Umut KUZUBAŞ
  • 2011 Efficiency and hedging effectiveness in the NYMEX crude oil futures market
    by Tarkan ÇAVUŞOĞLU & Soner GÖKTEN
  • 2011 The value of tradeability
    by Chesney, Marc & Kempf, Alexander
  • 2011 Price discovery in spot and futures markets: A reconsideration
    by Theissen, Erik
  • 2011 Does modeling framework matter? A comparative study of structural and reduced-form models
    by Gündüz, Yalin & Uhrig-Homburg, Marliese
  • 2011 Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes
    by Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila
  • 2011 Option pricing in subdiffusive Bachelier model
    by Marcin Magdziarz & Sebastian Orzel & Aleksander Weron
  • 2011 Three-Benchmarked Risk Minimization for Jump Diffusion Markets
    by Ke Du & Eckhard Platen
  • 2011 Do financial investors affect commodity prices? The case of Hard Red Winter Wheat
    by Daniele Girardi
  • 2011 Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints
    by Fengler, Matthias & Hin, Lin-Yee
  • 2011 A General Equilibrium Model of Environmental Option Values
    by Iain Fraser & Katsuyuki Shibayama
  • 2011 Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
    by Isao Ishida & Michael McAleer & Kosuke Oya
  • 2011 (Re)financing the Slave Trade with the Royal African Company in the Boom Markets of 1720
    by Gary S. Shea
  • 2011 A Social Network for Trade and Inventories of Stock during the South Sea Bubble
    by Gary S. Shea
  • 2011 East India Company and Bank of England Shareholders during the South Sea Bubble: Partitions, Components and Connectivity in a Dynamic Trading Network
    by Andrew Mays & Gary S. Shea
  • 2011 Does Stock Return Predictability Affect ESO Fair Value?
    by CARMONA, JULIO & LEÓN, ANGEL & VAELLO-SEBASTIÁ, ANTONI
  • 2011 Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options
    by Janis Back & Marcel Prokopczuk & Markus Rudolf
  • 2011 Rationalization of Investment Preference Criteria
    by Jacques Pézier &
  • 2011 Does Information Content of Option Prices Add Value for Asset Allocation?
    by Vladimir Zdorovenin & Jacques Pézier
  • 2011 A Market-based Approach to Sector Risk Determinants and Transmission in the Euro Area
    by Martín Saldías
  • 2011 Option Pricing in an Oligopolistic Setting
    by Villena, Marcelo & Villena, Mauricio
  • 2011 A Futures Trading Experiment: An Active Classroom Approach to Learning
    by Mitchell, David & Hunsader, Kenneth & Parker, Scott
  • 2011 On the demand pressure hypothesis in option markets: the case of a redundant option
    by Bennour, Khaled
  • 2011 Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market
    by P., Srinivasan
  • 2011 HUMAN Capital Contracts in Chile : An excercise based on Income data on Chilean HE graduates
    by Lozano Rojas, Felipe Andres
  • 2011 The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
    by Marco, Bianchetti
  • 2011 Hedging dynamics with gold futures
    by Singh, Saurabh & Saharawat, Swati
  • 2011 International stock market comovements: what happened during the financial crisis?
    by Horvath, Roman & Poldauf, Petr
  • 2011 Financial Management of Weather Risk with Energy Derivatives
    by Janda, Karel & Vylezik, Tomas
  • 2011 Expansion formulae for local Lévy models
    by Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga
  • 2011 An efficient lattice algorithm for the libor market model
    by Tim, Xiao
  • 2011 Thinking by analogy, systematic risk, and option prices
    by Siddiqi, Hammad
  • 2011 One numerical procedure for two risk factors modeling
    by Cocozza, Rosa & De Simone, Antonio
  • 2011 Hedging vs. speculative pressures on commodity futures returns
    by Cifarelli, Giulio & Paladino, Giovanna
  • 2011 A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility
    by Gonçalo Faria & João Correia-da-Silva
  • 2011 The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices
    by Gonçalo Faria & João Correia-da-Silva
  • 2011 Investment timing with fixed and proportional costs of external financing
    by Michi Nishihara & Takashi Sshibata
  • 2011 Real Options Valuation of Abandoned Farmland
    by Michi Nishihara
  • 2011 Systemic Risk-Taking: Amplification Effects, Externalities, and Regulatory Responses
    by Anton Korinek
  • 2011 A Transparency Standard for Derivatives
    by Viral V. Acharya
  • 2011 Global Asset Pricing
    by Karen K. Lewis
  • 2011 A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
    by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg
  • 2011 Limited and Varying Consumer Attention: Evidence from Shocks to the Salience of Bank Overdraft Fees
    by Victor Stango & Jonathan Zinman
  • 2011 Continuous Workout Mortgages
    by Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton
  • 2011 Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
    by Andrew Ang & Francis A. Longstaff
  • 2011 Generalized Transform Analysis of Affine Processes and Applications in Finance
    by Hui Chen & Scott Joslin
  • 2011 Simple Variance Swaps
    by Ian Martin
  • 2011 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
    by Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai
  • 2011 Margin-Based Asset Pricing and Deviations from the Law of One Price
    by Nicolae Gârleanu & Lasse Heje Pedersen
  • 2011 Investors’ and Central Bank’s Uncertainty Embedded in Index Options
    by Alexander David & Pietro Veronesi
  • 2011 What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
    by Harrison Hong & Motohiro Yogo
  • 2011 Corridor implied volatility and the variance risk premium in the Italian market
    by Silvia Muzzioli
  • 2011 Beating the Random Walk in Central and Eastern Europe by Survey Forecasts
    by Anna Naszódi
  • 2011 Testing the asset pricing model of exchange rates with survey data
    by Anna Naszódi
  • 2011 Spot and future prices of agricultural commodities: fundamentals and speculation
    by Lucia BALDI & Massimo PERI & Daniela VANDONE
  • 2011 A Structural Balance Sheet Model of Sovereign Credit Risk
    by Pascal François & Georges Hübner & Jean-Roch Sibille
  • 2011 Currency Total Return Swaps: Valuation and Risk Factor Analysis
    by Romain Cuchet & Pascal François & Georges Hübner
  • 2011 Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings
    by Jos van Bommel
  • 2011 Using Monte Carlo to Price Continuously Monitored Barrier Options on Discontinuously Traded Underlyings
    by Jos van Bommel
  • 2011 The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
    by Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori
  • 2011 The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
    by Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori
  • 2011 Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
    by Isao Ishida & Michael McAleer & Kosuke Oya
  • 2011 Testing option pricing models: complete and incomplete markets
    by Olesia Verchenko
  • 2011 The Puzzle of Index Option Returns
    by George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov
  • 2011 Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns
    by Jaime Casassus & Peng Liu & Ke Tang
  • 2011 Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management
    by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer
  • 2011 Liquidity considerations in estimating implied volatility
    by Rohini Grover & Susan Thomas
  • 2011 Pricing Nikkei 225 Options Using Realized Volatility
    by Masato Ubukata & Toshiaki Watanabe
  • 2011 Calibration of selfdecomposable Lévy models
    by Mathias Trabs
  • 2011 Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
    by Wolfgang Härdle & Maria Osipenko
  • 2011 Information Flow between Sovereign CDS and Dollar-Yen Currency Option Markets in the Sovereign Debt Crisis of 2009-2011
    by Cho-Hoi Hui & Tom Fong
  • 2011 Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares
    by Tsz-Kin Chung & Ka-Fai Li & Cho-Hoi Hui
  • 2011 Concocting Marketable Cocos
    by George M. von Furstenberg
  • 2011 Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data
    by Song Han & Hao Zhou
  • 2011 Long-Dated Agricultural Futures Price Estimates Using the Seasonal Nelson-Siegel Model
    by Jason West
  • 2011 Adaptive continuous time Markov chain approximation model to general jump-diffusions
    by Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias
  • 2011 Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability
    by Isakov, Dusan & Marti, Didier
  • 2011 Pricing of Gas Swing Options using Monte Carlo Methods
    by Andrea Klimešová & Tomáš Václavík
  • 2011 Modelling Long-Term Electricity Contracts at EEX
    by Robert Flasza & Milan Rippel & Jan Šolc
  • 2011 Modifying Gaussian term structure models when interest rates are near the zero lower bound
    by Leo Krippner
  • 2011 Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors
    by Bakshi, Gurdip & Chabi-Yo, Fousseni
  • 2011 Informational Efficiency in Futures Markets for Crude Oil
    by Andreas Fritz & Christoph Weber
  • 2011 Valuation of Liabilities in Hybrid Pension Plans
    by Dirk Broeders & An Chen & David Rijsbergen
  • 2011 Employee Stock Options Incentive Effects: A CPT-Based Model
    by Bahaji, Hamza
  • 2011 A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices
    by Zakoïan, Jean-Michel & Regnard, Nazim
  • 2011 Hedging and vertical integration in electricity markets
    by Chemla, Gilles & Porchet, Arnaud & Aïd, René & Touzi, Nizar
  • 2011 Continuous Workout Mortgages
    by Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton
  • 2011 Good deals in markets with frictions
    by Alejandro Balbás & Beatriz Balbás & Raquel Balbás
  • 2011 Pairing market risk with credit risk
    by Isabel Figuerola-Ferretti & Ioannis Paraskevopoulos
  • 2011 The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
    by Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadori
  • 2011 The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
    by Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari
  • 2011 The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
    by Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari
  • 2011 The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
    by Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari
  • 2011 CDS Auctions
    by Chernov, Mikhail & Gorbenko, Alexander & Makarov, Igor
  • 2011 Hedging and Vertical Integration in Electricity Markets
    by Aïd, René & Chemla, Gilles & Porchet, Arnaud & Touzi, Nizar
  • 2011 Variance risk, financial intermediation, and the cross-section of expected option returns
    by Schürhoff, Norman & Ziegler, Alexandre
  • 2011 The risk neutral valuation paradox
    by A. Fiori Maccioni
  • 2011 The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis
    by Marc Gronwald & Janina Ketterer & Stefan Trück
  • 2011 Options introduction and volatility in the EU ETS
    by Julien Chevallier & Yannick Le Pen & Benoît Sévi
  • 2011 Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
    by Isao Ishida & Michael McAleer & Kosuke Oya
  • 2011 The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees
    by Christian Hilpert & Jing Li & Alexander Szimayer
  • 2011 American options with multiple priors in continuous time
    by Jörg Vorbrink
  • 2011 Macro-prudential policy and the conduct of monetary policy
    by Beau, D. & Clerc, L. & Mojon, B.
  • 2011 Macroeconomic determinants of carry trade activity
    by Alessio Anzuini & Fabio Fornari
  • 2011 Where is the value in high frequency trading?
    by Álvaro Cartea & José Penalva
  • 2011 Volatility in EMU sovereign bond yields: Permanent and transitory components
    by Simón Sosvilla-Rivero & Amalia Morales-Zumaquero
  • 2011 What we can learn from pricing 139,879 Individual Stock Options
    by Lars Stentoft
  • 2011 Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
    by Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen
  • 2011 Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
    by Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez
  • 2011 Forecasting with Option Implied Information
    by Peter Christoffersen & Kris Jacobs & Bo Young Chang
  • 2011 American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
    by Lars Stentoft
  • 2011 Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
    by Antonis Papapantoleon & John Schoenmakers & David Skovmand
  • 2011 Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
    by Christian Bach & Bent Jesper Christensen
  • 2011 Hedge Ratio And Hedging Efficiency: Evidence From Indian Derivative Market
    by Tripathy NALINIPRAVA
  • 2011 Asset Pricing With Incomplete Information In A Discrete-Time Pure Exchange Economy
    by Prasad V. BIDARKOTA & Brice V. DUPOYET
  • 2011 Patent Valuation and Real Options
    by Alper, Deger
  • 2011 Firm Decisions: Determinants of Investments
    by Ionescu Alexandra
  • 2011 Financial Innovations
    by Piciu Gabriela Cornelia & Chiþiga Georgiana
  • 2011 Development of Exchange-Traded Derivatives Markets in Selective Central and Eastern European Countries
    by Anton Sorin Gabriel & Diaconasu Delia-Elena
  • 2011 Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
    by Łukasz Delong
  • 2011 Decisiones óptimas de consumo y portafolio. Un enfoque de precios de estado de Arrow-Debreu
    by Gavira Durón Nora & Venegas Martínez Francisco
  • 2011 Las emisiones primarias de energía en el mercado español: valoración de opciones teórica y de mercado/Primary Energy Emissions in the Spanish Market: Theoretical and Market-Based Option Pricing
    by PEÑA, JUAN IGNACIO
  • 2011 Az arbitrázs preferenciákkal történő karakterizációjáról
    by Badics, Tamás
  • 2011 Commentary: Some Methodological Suggestions
    by Fumio Hayashi
  • 2011 The Relationship between Volatility and Expected Returns: Some Evidence for Australia
    by Ali F. Darrat & Bin Li & Omar Benkato
  • 2011 Herding the Mutual Fund Managers in the Athens Stock Exchange
    by Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos
  • 2011 Impacto de los productos derivados los objetivos de política monetaria: un modelo de equilibrio general
    by L. Arturo Bernal Ponce & Francisco Venegas Martínez
  • 2011 Industry loss warranties: contract features, pricing, and central demand factors
    by Nadine Gatzert & Hato Schmeiser
  • 2011 Flips, flops and foreclosures: anatomy of a real estate bubble
    by Dag Einar Sommervoll & Gavin Wood
  • 2011 Options introduction and volatility in the EU ETS
    by Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît
  • 2011 Asymmetric convergence in US financial credit default swap sector index markets
    by Chen, Li-Hsueh & Hammoudeh, Shawkat & Yuan, Yuan
  • 2011 Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
    by Kristensen, Dennis & Mele, Antonio
  • 2011 A joint valuation of premium payment and surrender options in participating life insurance contracts
    by Schmeiser, H. & Wagner, J.
  • 2011 Equity-linked pension schemes with guarantees
    by Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik
  • 2011 Pricing catastrophe swaps: A contingent claims approach
    by Braun, Alexander
  • 2011 The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts
    by Li, Jing & Szimayer, Alexander
  • 2011 A risk-based model for the valuation of pension insurance
    by Chen, An
  • 2011 Computing American option prices in the lognormal jump–diffusion framework with a Markov chain
    by Simonato, Jean-Guy
  • 2011 CAPM option pricing
    by Husmann, Sven & Todorova, Neda
  • 2011 American option pricing with discrete and continuous time models: An empirical comparison
    by Stentoft, Lars
  • 2011 Analysing interconnectivity among economies
    by Wong, Alfred Y-T. & Fong, Tom Pak Wing
  • 2011 Large traders and illiquid options: Hedging vs. manipulation
    by Kraft, Holger & Kühn, Christoph
  • 2011 Minimum return guarantees with fund switching rights—An optimal stopping problem
    by Mahayni, Antje & Schoenmakers, John G.M.
  • 2011 Neural Networks as Semiparametric Option Pricing Tool
    by Michaela Barunikova & Jozef Barunik
  • 2011 Aproximación De Reclamos Contingentes Para La Predicción De Riesgo De Crédito En Sus Medidas De Determinación De La Distancia De Default Y Su Probabil
    by JUAN SERGIO CRUZ MERCHÁN & JAIME VARGAS VIVES
  • 2011 Commodity Booms and Busts
    by Colin A. Carter & Gordon C. Rausser & Aaron Smith
  • 2011 Global Asset Pricing
    by Karen K. Lewis
  • 2011 The Economics of Credit Default Swaps
    by Robert A. Jarrow
  • 2010 The value of tradeability
    by Chesney, Marc & Kempf, Alexander
  • 2010 Approximating the Numeraire Portfolio by Naive Diversification
    by Eckhard Platen & Renata Rendek
  • 2010 Pricing and Hedging in the Freight Futures Market
    by Marcel Prokopczuk
  • 2010 Dynamic hedging strategies: An application to the crude oil market
    by Lautier, Delphine & Galli, Alain
  • 2010 A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration
    by Huault, Isabelle & Rainelli, Hélène
  • 2010 Spéculation et marchés dérivés du pétrole
    by Chevallier, Julien
  • 2010 Interest rate risk hedging demand under a Gaussian framework
    by Attaoui, Sami & Six, Pierre
  • 2010 Recovering risk-neutral densities from exchange rate options: Evidence from Lira-Dollar options
    by Halil İbrahim AYDIN & Ahmet DEĞERLİ & Pınar ÖZLÜ
  • 2010 Planes no creíbles de estabilización de precios, riesgo cambiario y opciones reales para posponer consumo. Un análisis con volatilidad estocástica
    by Venegas-Martínez, Francisco
  • 2010 Modeling and explaining the dynamics of European Union allowance prices at high-frequency
    by Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar
  • 2010 Explaining time-varying risk of electricity forwards: trading activity and news announcements
    by Schulz, Frowin C.
  • 2010 A call on Art investments
    by Kraeussl, Roman & Wiehenkamp, Christian
  • 2010 Optimal bidding strategies on the power market based on the stochastic models
    by Magdalena Weglarz & Agnieszka Wylomanska
  • 2010 FX Smile in the Heston Model
    by Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup
  • 2010 Extracting Implied Dividends from Options Prices: some Applications to the Italian Derivatives Market
    by Martina Nardon & Paolo Pianca
  • 2010 Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
    by Silvia Centanni & Marco Minozzo
  • 2010 Option Valuation in Multivariate SABR Models
    by Jörg Kienitz & Manuel Wittke
  • 2010 Equity-Linked Pension Schemes with Guarantees
    by J. Aase Nielsen & Klaus Sandmann & Erik Schlogl
  • 2010 A dynamic copula approach to recovering the index implied volatility skew
    by Matthias Fengler & Helmut Herwartz & Christian Werner
  • 2010 Option data and modeling BSM implied volatility
    by Matthias Fengler
  • 2010 The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling
    by Conall O'Sullivan & Michael Moloney
  • 2010 Recovering Risk-Neutral Densities from Exchange Rate Options: Evidence in Turkey (Kur Opsiyonlarindan Riske Duyarsiz Yogunluk Fonksiyonu Cikarimi: Turkiye Ornegi)
    by Halil Ibrahim Aydin & Ahmet Degerli & Pinar Ozlu
  • 2010 Diagnóstico, Evaluación y Propuesta de Desarrollo del Mercado de Derivados en Chile
    by Carlos Budnevich & Salvador Zurita
  • 2010 Upper and lower bounds on dynamic risk indifference prices in incomplete markets
    by Xavier De Scheemaekere
  • 2010 Insecticide Use and Crop Selection: A South Dakota Case Study
    by McDonald, Tia Michelle & Scott W. Fausti & Keating, Ariel Ruth & Li, Jing & Lundgren, Jonathan & Catangui, Mike
  • 2010 Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market
    by Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi
  • 2010 The Market Microstructure of the European Climate Exchange
    by Bruce Mizrach & Yoichi Otsubo
  • 2010 Tail Return Analysis of Bear Stearns Credit Default Swaps
    by Liuling Li & Bruce Mizrach
  • 2010 A systematic approach for valuing American-style installment options with continuous payment plan
    by Pierangelo Ciurlia
  • 2010 A systematic approach for valuing European-style installment options with continuous payment plan
    by Pierangelo Ciurlia
  • 2010 On the evaluation of European continuous-istallment options
    by Pierangelo Ciurlia
  • 2010 Government Revenue Volatility in Alberta
    by Smith, Constance & Landon, Stuart
  • 2010 VIX Dynamics with Stochastic Volatility of Volatility
    by Andreas Kaeck & Carol Alexander
  • 2010 Regime-Dependent Smile-Adjusted Delta Hedging
    by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis
  • 2010 Seasonality and the Valuation of Commodity Options
    by Janis Back & Marcel Prokopczuk & Markus Rudolf
  • 2010 Does model fit matter for hedging? Evidence from FTSE 100 options
    by Carol Alexander & Andreas Kaeck
  • 2010 American Option Valuation: Implied Calibration of GARCH Pricing-Models
    by Michael Weber & Marcel Prokopczuk
  • 2010 An Empirical Model Comparison for Valuing Crack Spread Options
    by Steffen Mahringer & Marcel Prokopczuk
  • 2010 Selective Hedging in Hydro-Based Electricity Companies
    by Olsen, Eirik Tandberg & Sanda, Gaute Egeland & Fleten, Stein-Erik
  • 2010 The puzzle of privately-imposed price limits: are the limits imposed by financial exchanges effective?
    by Reiffen, David & Buyuksahin, Bahattin
  • 2010 Multiple risky securities valuation II
    by Ilya, Gikhman
  • 2010 Power Spot Price Models with negative Prices
    by Schneider, Stefan & Schneider, Stefan
  • 2010 Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
    by Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong
  • 2010 Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing
    by Bao, Qunfang & Li, Shenghong & Liu, Guimei
  • 2010 Borrowing Constraint and the Effect of Option Introduction
    by Amira, Khaled & Bennour, Khaled
  • 2010 Strategic asset allocation and intertemporal demands: with commodities as an asset class
    by Su, Yongyang & Lau, Marco Chi Keung
  • 2010 Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest
    by Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong
  • 2010 Levy Subordinator Model: A Two Parameter Model of Default Dependency
    by Balakrishna, B S
  • 2010 Model based Monte Carlo pricing of energy and temperature quanto options
    by Caporin, Massimiliano & Pres, Juliusz & Torro, Hipolit
  • 2010 FX Smile in the Heston Model
    by Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe
  • 2010 An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009
    by Cavalcante, Mileno
  • 2010 The relevance of coarse thinking for investors' willingness to pay: An experimental study
    by Siddiqi, Hammad
  • 2010 Risky funding: a unified framework for counterparty and liquidity risk
    by Morini, Massimo & Prampolini, Andrea
  • 2010 Canonical Representation Of Option Prices and Greeks with Implications for Market Timing
    by Cadogan, Godfrey
  • 2010 Coarse thinking, implied volatility, and the valuation of call and put options
    by Siddiqi, Hammad
  • 2010 Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization
    by Fries, Christian P.
  • 2010 On cross-currency models with stochastic volatility and correlated interest rates
    by Grzelak, Lech & Oosterlee, Kees
  • 2010 Evaluation of hydropower upgrade projects - a real options approach
    by Elverhøi, Morten & Fleten, Stein-Erik & Fuss, Sabine & Heggedal, Ane Marte & Szolgayova, Jana & Troland, Ole Christian
  • 2010 Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover
    by Behera, Harendra
  • 2010 Leveraging the British Railway Mania: Derivatives for the Individual Investor
    by Campbell, Gareth
  • 2010 Credit Derivatives
    by Giandomenico, Rossano
  • 2010 Levy Subordinator Model of Default Dependency
    by Balakrishna, B S
  • 2010 Higher-order volatility: time series
    by Carey, Alexander
  • 2010 An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile
    by Grzelak, Lech & Oosterlee, Kees
  • 2010 Downturn LGD: A Spot Recovery Approach
    by Li, Hui
  • 2010 Alpha-root Processes for Derivatives pricing
    by Balakrishna, BS
  • 2010 Time-varying spot and futures oil price dynamics
    by Guglielmo Caporale & Davide Ciferri & Alessandro Girardi
  • 2010 Modelling and forecasting wind speed intensity for weather risk management
    by Massimiliano Caporin & Juliusz Pres
  • 2010 The effects of costly exploration on optimal investment timing
    by Michi NISHIHARA & Takashi SHIBATA
  • 2010 Evaluating the occurrence and disappearance of real options
    by Michi Nishihara
  • 2010 A model for determining whether a firm should exercise multiple real options individually or simultaneously
    by Michi Nishihara
  • 2010 An Empirical Analysis of the Swaption Cube
    by Anders B. Trolle & Eduardo S. Schwartz
  • 2010 Liquidity Risk of Corporate Bond Returns: A Conditional Approach
    by Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath
  • 2010 Index Investment and Financialization of Commodities
    by Ke Tang & Wei Xiong
  • 2010 Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
    by George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis
  • 2010 Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
    by Hui Chen
  • 2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
    by Erik Snowberg & Justin Wolfers
  • 2010 The Predictive Content of Commodity Futures
    by Menzie D. Chinn & Olivier Coibion
  • 2010 Sources of Variation in Holding Returns for Fed Funds Futures Contracts
    by James D. Hamilton & Tatsuyoshi Okimoto
  • 2010 On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
    by Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang
  • 2010 Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
    by Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege
  • 2010 Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes
    by Christophe Chorro & Dominique Guegan & Florian Ielpo
  • 2010 Option pricing for GARCH-type models with generalized hyperbolic innovations
    by Christophe Chorro & Dominique Guegan & Florian Ielpo
  • 2010 Towards a volatility index for the Italian stock market
    by Silvia Muzzioli
  • 2010 Trade in Financial ServicesÑHas the IMF Been Involved Constructively?
    by Robert M. Stern
  • 2010 A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors
    by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato
  • 2010 Multivariate Option Pricing with Time Varying Volatility and Correlations
    by Jeroen V.K. Rombouts & Lars Stentoft
  • 2010 Heterogeneous Beliefs in a Continuous-Time Model
    by Chiaki Hara
  • 2010 Options on Multiple Assets in a Mean-Reverting Model
    by Masahiko Egami & Tadao Oryu
  • 2010 Pinning in the S&P 500 Futures
    by Benjamin Golez & Jens Carsten Jackwerth
  • 2010 Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach
    by Jaime Casassus & Diego Ceballos
  • 2010 An Empirical Analysis of Equity Market Expectations in the Recent Financial Turmoil Using Implied Moments and Jump Diffusion Processes
    by Yoshihiko Sugihara & Nobuyuki Oda
  • 2010 Pricing Options on Commodity Futures: The Role of Weather and Storage
    by Marin Bozic
  • 2010 FX Smile in the Heston Model
    by Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup
  • 2010 Parametric estimation of risk neutral density functions
    by Maria Grith & Volker Krätschmer
  • 2010 Meteorological forecasts and the pricing of weather derivatives
    by Matthias Ritter & Oliver Mußhoff & Martin Odening
  • 2010 Estimation of the characteristics of a Lévy process observed at arbitrary frequency
    by Johanna Kappus & Markus Reiß
  • 2010 Illiquidity and Derivative Valuation
    by Ulrich Horst & Felix Naujokat
  • 2010 Volatility Investing with Variance Swaps
    by Wolfgang Karl Härdle & Elena Silyakova
  • 2010 The Risk of Sudden Depreciation of the Euro in the Sovereign Debt Crisis of 2009-2010
    by Cho-Hoi Hui & Tsz-Kin Chung
  • 2010 Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities
    by Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo
  • 2010 Analysing Interconnectivity among Economies
    by Alfred Wong & Tom Fong
  • 2010 Commodity Futures Returns: A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures
    by Giulio Cifarelli & Giovanna Paladino
  • 2010 The Price and Risk Effects of Option Introductions on the Nordic Markets
    by Staffan Linden
  • 2010 Default Risk in Stochastic Volatility Models
    by Hans Gersbach & Nicolae Surulescu
  • 2010 A comparison of reduced-form permit price models and their empirical performances
    by Georg Grüll & Luca Taschini
  • 2010 Environmental economics and modeling marketable permits
    by Luca Taschini
  • 2010 Option hedging for small investors under liquidity costs
    by H. Mete Soner & Umut Cetin & Nizar Touzi
  • 2010 Market Efficiency Test in the VIX Futures Market
    by Jian Zhang & Lee W. Sanning & Sherrill Shaffer
  • 2010 Government Revenue Volatility: The Case of Alberta, an Energy Dependent Economy
    by Stuart Landon & Constance Smith
  • 2010 Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas
    by van Eijkel, Remco & Moraga-González, Jose L.
  • 2010 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen
  • 2010 Volatility Jumps
    by Viktor Todorov & George Tauchen
  • 2010 Implied Risk-Neutral probability Density functions from options prices : A comparison of estimation methods
    by Rihab Bedoui & Haykel Hamdi
  • 2010 The Forward Premium Puzzle and Latent Factors Day by Day
    by Kerstin Bernoth & Juergen von Hagen & Casper de Vries
  • 2010 The Forward Premium Puzzle and Latent Factors Day by Day
    by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries
  • 2010 Time-Varying Spot and Futures Oil Price Dynamics
    by Guglielmo Maria Caporale & Davide Ciferri & Allessandro Girardi
  • 2010 Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices
    by Mehtap Kilic & Ronald Huisman
  • 2010 Do Firms sell forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas
    by Remco van Eijkel & Jose Luis Moraga
  • 2010 Volatility Exposure for Strategic Asset Allocation
    by Brière, Marie & Burgues, Alexandre & Signori, Ombretta
  • 2010 Dynamic Hedging Strategies: An Application to the Crude Oil Market
    by Lautier, Delphine & Galli, Alain
  • 2010 Causalities between CO2, electricity, and other energy variables during phase I and phase II of the EU ETS
    by Keppler, Jan Horst & Mansanet-Bataller, Maria
  • 2010 Disentangling crashes from tail events
    by Aboura, Sofiane
  • 2010 Mean square error for the Leland-Lott hedging strategy: convex pay-offs
    by Lépinette-Denis, Emmanuel & Kabanov, Yuri
  • 2010 The Predictive Content of Commodity Futures
    by Menzie D. Chinn & Olivier Coibion
  • 2010 Outliers in Garch models and the estimation of risk measures
    by Aurea Grané & Helena Veiga
  • 2010 How much should we pay for interconnecting electricity markets? A real options approach
    by Álvaro Cartea & Carlos González-Pedraz
  • 2010 Derivatives pricing with marked point processes using Tick-by-tick dataR
    by Álvaro Cartea
  • 2010 A Direct Test of Rational Bubbles
    by Friedrich Geiecke & Mark Trede
  • 2010 An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
    by Gerrit Reher & Bernd Wilfling
  • 2010 The Forward Premium Puzzle and Latent Factors Day by Day
    by Bernoth, Kerstin & de Vries, Casper G & von Hagen, Jürgen
  • 2010 Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    by DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory
  • 2010 Performance Maximization of Actively Managed Funds
    by Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu
  • 2010 Valuation of VIX Derivatives
    by Mencía, Javier & Sentana, Enrique
  • 2010 Option pricing with asymmetric heteroskedastic normal mixture models
    by ROMBOUTS, Jeroen V. K. & STENTOFT, Lars
  • 2010 Commodities inventory effect
    by CARPANTIER, Jean - François
  • 2010 Multivariate option pricing with time varying volatility and correlations
    by ROMBOUTS, Jeroen J. K & STENTOFT, Lars
  • 2010 Liquidity risks on power exchanges
    by DE MAERE D’AERTRYCKE, Gauthier & SMEERS, Yves
  • 2010 Estimating the Appropriate Risk Profile for the Tax Savings: A Contingent Claim Approach
    by Gonzalo Diaz Hoyos & Ignacio Velez Pareja
  • 2010 Dependencia de largo plazo y la regla de la raíz del tiempo para escalar la volatilidad en el mercado colombiano
    by Carlos León & Francisco Vivas
  • 2010 Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
    by Jeroen Rombouts & Lars Peter Stentoft
  • 2010 Multivariate Option Pricing With Time Varying Volatility and Correlations
    by Jeroen Rombouts & Lars Peter Stentoft
  • 2010 Is the Price Kernel Monotone?
    by Giovanni BARONE-ADESI & Hakim DALL'O
  • 2010 Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas
    by Remco van Eijkel & José Luis Moraga Gonzalez
  • 2010 Time-Varying Spot and Futures Oil Price Dynamics
    by Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi
  • 2010 Bilateral Trade, Openness and Asset Holdings
    by Jing Li & Alexander Szimayer
  • 2010 The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts
    by Jing Li & Alexander Szimayer
  • 2010 The valuation of N-phased investment projects under jump-diffusion processes
    by R. Andergassen & L. Sereno
  • 2010 Financial markets with volatility uncertainty
    by Jörg Vorbrink
  • 2010 Credit ratings in structured finance and the role of systemic risk
    by Roberto Violi
  • 2010 An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil
    by Antonio Di Cesare & Giovanni Guazzarotti
  • 2010 Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
    by Alejandro Garcia & Andrei Prokopiw
  • 2010 Level Shifts in Volatility and the Implied-Realized Volatility Relation
    by Bent Jesper Christensen & Paolo Santucci de Magistris
  • 2010 The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
    by Bent Jesper Christensen & Petra Posedel
  • 2010 Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
    by Jeroen V.K. Rombouts & Lars Stentoft
  • 2010 Picard Approximation of Stochastic Differential Equations and Application to Libor Models
    by Antonis Papapantoleon & David Skovmand
  • 2010 The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks
    by Leonidas Tsiaras
  • 2010 Multivariate Option Pricing with Time Varying Volatility and Correlations
    by Jeroen V.K. Rombouts & Lars Stentoft
  • 2010 Spot price and future price for Brent and WTI markers: Behavior and determinants (1998-2008)
    by Giuseppe Pulitano & Emmanuel Borgucci
  • 2010 Inverse Vertical Ratio Put Spread Strategy and its Application in Hedging Against a Price Drop
    by Vincent Šoltés & Omer Faraj S. Amaitiek
  • 2010 Crisis of financial system and evolution of commodities market
    by Varshavsky, Leonid
  • 2010 Assessing and Negotiating Commercial Contracts
    by Jan Vlachý
  • 2010 An option on the average European futures prices for an efficient hog producer risk management
    by Martial Phélippé-Guinvarc’H & Jean Cordier
  • 2010 Productos derivados sobre bienes de consumo
    by Francisco Venegas Martinez & Salvador Cruz Ake
  • 2010 „Black-Scholes Model Used To Evaluate Stocks Options”
    by Turcan Radu Olimpiu Calin
  • 2010 Limit Orders, Trading Activity, and Transactions Costs in Equity Futures in an Electronic Trading Environment
    by Lorne N. Switzer & Haibo Fan
  • 2010 Financial Markets Interactions between Economic Theory and Practice
    by Mihaela NICOLAU
  • 2010 The Role of Market-Implied Severity Modeling for Credit VaR
    by J. Samuel Baixauli & Susana Alvarez
  • 2010 Caracterización y pronóstico del precio spot de la energía eléctrica en Colombia
    by Sandra Patricia Bello-Rodríguez & Robert Baudilio Beltrán-Ahumada
  • 2010 Black Gold & Fool´s Gold: Speculation in the Oil Futures Market
    by John Parsons
  • 2010 estimación de una superficie de volatilidades para las opciones de tasa de cambio USD/COP
    by Andrés Gómez
  • 2010 Policy responses to dislocations in the FX swap market: the experience of Korea
    by Naohiko Baba & Ilhyock Shim
  • 2010 Risk Management
    by Philippe Jorion
  • 2010 The Orientation Towards The Private Pension System – A Consequence Of The Public Pension System’S Unsustanability
    by Lect. Ph.D Mangra Madalina Giorgiana & Assoc. Prof. Ph.D Stanciu Marieta & Lect. Ph.D Sperdea Natalita Maria
  • 2010 Options evaluation - Black-Scholes model vs. binomial options pricing model
    by Ioan TRENCA & Maria Miruna POCHEA & Angela Maria FILIP
  • 2010 Credit Default Swaps and the Credit Crisis
    by Rene M. Stulz
  • 2010 The Failure Mechanics of Dealer Banks
    by Darrell Duffie
  • 2009 Price discovery in spot and futures markets: A reconsideration
    by Theissen, Erik
  • 2009 Modeling and pricing of credit derivatives using macroeconomic information
    by Schmid, Bernd & Zagst, Rudi & Antes, Stefan & El Moufatich, Fayssal
  • 2009 What executives should know about structural credit risk models and their limitations: a primer with examples
    by Malone, Samuel & Rodriguez, Abel & ter Horst, Enrique
  • 2009 The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
    by Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel
  • 2009 Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis
    by Rotfuß, Waldemar
  • 2009 Valuing options in Heston's stochastic volatility model: Another analytical approach
    by Frontczak, Robert
  • 2009 On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
    by Frontczak, Robert & Schöbel, Rainer
  • 2009 Strategic pricing of financial options
    by Bieta, Volker & Broll, Udo & Milde, Hellmuth & Siebel, Wilfried
  • 2009 Accuracy of premium calculation models for CAT bonds: An empirical analysis
    by Galeotti, Marcello & Gürtler, Marc & Winkelvos, Christine
  • 2009 Credit gap risk in a first passage time model with jumps
    by Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M.
  • 2009 Credit dynamics in a first passage time model with jumps
    by Packham, Natalie & Schlögl, Lutz & Schmidt, Wolfgang M.
  • 2009 Price discovery in spot and futures markets: A reconsideration
    by Theissen, Erik
  • 2009 Trading the bond-CDS basis: The role of credit risk and liquidity
    by Trapp, Monika
  • 2009 The term structure of illiquidity premia
    by Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese
  • 2009 The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
    by Taylor, Stephen J. & Yadav, Pradeep K. & Zhang, Yuanyuan
  • 2009 Risk premia in electricity wholesale spot markets: empirical evidence from Germany
    by Pietz, Matthäus
  • 2009 Risk premia in the German electricity futures market
    by Pietz, Matthäus
  • 2009 Calibration of the subdiffusive Black–Scholes model
    by Sebastian Orzel & Aleksander Weron
  • 2009 Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)
    by Martina Nardon & Paolo Pianca
  • 2009 Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model
    by Carl Chiarella & Viviana Fanelli & Silvana Musti
  • 2009 A Benchmark Approach to Investing and Pricing
    by Eckhard Platen
  • 2009 Asset Markets and Monetary Policy
    by Eckhard Platen & Willi Semmler
  • 2009 Alternative Defaultable Term Structure Models
    by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl
  • 2009 Pricing caps with HJM models: the benefits of humped volatility
    by Jury Falini
  • 2009 Option trading strategies based on semi-parametric implied volatility surface prediction
    by Francesco Audrino & Dominik Colangelo
  • 2009 A decomposition formula for option prices in the Heston model and applications to option pricing approximation
    by Elisa Alòs
  • 2009 How to Manage Food Price Instability in Developing Countries ?
    by Galtier, F.
  • 2009 Comment gérer l'instabilité des prix alimentaires dans les pays en développement ?
    by Galtier, F.
  • 2009 Valuation of R&D Investment Opportunities with the Threat of Competitors Entry in Real Option Analysis
    by Giovanni Villani
  • 2009 Automated Likelihood Based Inference for Stochastic Volatility Models
    by Hans J. Skaug & Jun Yu
  • 2009 Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
    by Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens
  • 2009 Integration of the Global Emissions Trading Markets
    by Bruce Mizrach
  • 2009 Indeterminacy of competitive equilibrium with risk of default
    by Gaetano Bloise & Pietro Reichlin & Mario Tirelli
  • 2009 A New Look at Copper Markets: A Regime-Switching Jump Model
    by Chan, Wing Hong & Young, Denise
  • 2009 Option Pricing Under Lévy Processes: A Unifying Formula
    by Rossella Agliardi
  • 2009 Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics
    by Raphael Paschke & Marcel Prokopczuk
  • 2009 Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
    by Anginer, Deniz & Yildizhan, Celim
  • 2009 New insights into India’s single stock futures markets
    by HUNG, MAO-WEI & SO, LEH-CHYAN
  • 2009 Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media
    by García de la Vega, Victor Manuel & Ruiz-Porras, Antonio
  • 2009 On The Heston Model with Stochastic Interest Rates
    by Grzelak, Lech & Oosterlee, Kees
  • 2009 A Spot Stochastic Recovery Extension of the Gaussian Copula
    by Bennani, Norddine & Maetz, Jerome
  • 2009 Double Impact on CVA for CDS: Wrong-Way Risk with Stochastic Recovery
    by Li, Hui
  • 2009 Assessing the influence of spot price predictability on electricity futures hedging
    by Torro, Hipolit
  • 2009 Extension of Spot Recovery Model for Gaussian Copula
    by Li, Hui
  • 2009 Effects of market sentiment in index option pricing: a study of CNX NIFTY index option
    by Nagarajan, Thirukumaran & Malipeddi, Koteswararao
  • 2009 A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes
    by Li, Minqiang
  • 2009 Alternative Tilts for Nonparametric Option Pricing
    by Walker, Todd B & Haley, M. Ryan
  • 2009 How Duration Between Trades of Underlying Securities Affects Option Prices
    by Cartea, Álvaro & Meyer-Brandis, Thilo
  • 2009 On Models of Stochastic Recovery for Base Correlation
    by Li, Hui
  • 2009 Term Structure Equations Under Benchmark Framework
    by El Qalli, Yassine
  • 2009 A fundamental power price model with oligopolistic competition representation
    by Vazquez, Miguel & Barquín, Julián
  • 2009 Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison
    by Minqiang Li, Li
  • 2009 Modeling long-term electricity forward prices
    by Povh, Martin & Fleten, Stein-Erik
  • 2009 New renewable electricity capacity under uncertainty: The potential in Norway
    by Fleten, Stein-Erik & Ringen, Geir
  • 2009 Hybrid or Electric Vehicles? A Real Options Perspective
    by Michi NISHIHARA
  • 2009 Did the ETF enhance arbitrage between cash and futures of the Nikkei225?
    by Youki Kohsaka
  • 2009 Preemptive Investment Game with Alternative Projects
    by Michi Nishihara
  • 2009 Are Banks Different? Evidence from the CDS Market
    by Burkhard Raunig & Martin Scheicher
  • 2009 Macro-Hedging for Commodity Exporters
    by Eduardo Borensztein & Olivier Jeanne & Damiano Sandri
  • 2009 Credit Default Swaps and the Credit Crisis
    by René M. Stulz
  • 2009 Systemic Risk and the Refinancing Ratchet Effect
    by Amir E. Khandani & Andrew W. Lo & Robert C. Merton
  • 2009 Asset Return Dynamics under Bad Environment Good Environment Fundamentals
    by Geert Bekaert & Eric Engstrom
  • 2009 U.S. Stock Market Crash Risk, 1926-2006
    by David S. Bates
  • 2009 Valuing Toxic Assets: An Analysis of CDO Equity
    by Francis A. Longstaff & Brett Myers
  • 2009 The Term Structures of Equity and Interest Rates
    by Martin Lettau & Jessica A. Wachter
  • 2009 Information, Liquidity, and the (Ongoing) Panic of 2007
    by Gary B. Gorton
  • 2009 Credit Risk Transfer and Bank Competition
    by Hendrik Hakenes & Isabel Schnabel
  • 2009 The skew pattern of implied volatility in the DAX index options market
    by Silvia Muzzioli
  • 2009 The skew pattern of implied volatility in the DAX index options market
    by Silvia Muzzioli
  • 2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
    by Jeroen V.K. Rombouts & Lars Stentoft
  • 2009 Basket Options on Heterogeneous Underlying Assets
    by Georges Dionne & Geneviève Gauthier & Nadia Ouertani
  • 2009 Credit Spread Changes within Switching Regimes
    by Olfa Maalaoui & Georges Dionne & Pascal François
  • 2009 Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse
    by Gann, Philipp
  • 2009 Heterogeneous Impatience in a Continuous-Time Model
    by Chiaki Hara
  • 2009 The Superiority of Time-Varying Hedge Ratios in Turkish Futures
    by Onur Olgun & Ý. Hakan Yetkiner
  • 2009 Pricing executive stock options under employment shocks
    by Ángel León Valle & Antonio Vaello & Julio Carmona
  • 2009 Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
    by Xiaodong Du & Cindy L. Yu & Dermot J. Hayes
  • 2009 Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis
    by Xiaodong Du & Cindy L. Yu & Dermot J. Hayes
  • 2009 Polar sets of anisotropic Gaussian random fields
    by Jakob Söhl
  • 2009 Representations for optimal stopping under dynamic monetary utility functionals
    by Volker Krätschmer & John Schoenmakers
  • 2009 CDO and HAC
    by Barbara Choroś & Wolfgang Härdle & Ostap Okhrin
  • 2009 CDO Pricing with Copulae
    by Barbara Choros & Wolfgang Härdle & Ostap Okhrin
  • 2009 A Microeconomic Explanation of the EPK Paradox
    by Wolfgang Härdle & Volker Krätschmer & Rouslan Moro
  • 2009 Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
    by Kiyotaka Nakashima & Makoto Saito
  • 2009 Option Pricing Using Realized Volatility and ARCH Type Models
    by Toshiaki Watanabe & Masato Ubukata
  • 2009 Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models
    by T. C. Wong & C. H. Hui & C. F. Lo
  • 2009 A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks
    by Eric Wong & Cho-Hoi Hui
  • 2009 Heterogeneous Impatience in a Continuous-Time Model
    by Hara, Chiaki
  • 2009 A Model of Deferred Callability in Defaultable Debt
    by Mjøs, Aksel & Persson, Svein-Arne
  • 2009 Pricing basket default swaps in a tractable shot-noise model
    by Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten
  • 2009 Systemic Risk and the Refinancing Ratchet Effect
    by Amir E. Khandani & Andrew W. Lo & Robert C. Merton
  • 2009 What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?
    by Nicole Branger & Holger Kraft & Christoph Meinerding
  • 2009 Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks
    by Michaela Vlasáková Baruníková
  • 2009 Did Speculation Affect World Rice Prices?
    by C. Peter Timmer
  • 2009 Term Structure Equations Under Benchmark Framework
    by El Qalli Yassine
  • 2009 Expected Returns and Volatility of Fama-French Factors
    by Chabi-Yo, Fousseni
  • 2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen
  • 2009 Hedging residual value risk using derivatives
    by Sylvain Prado
  • 2009 Forward Hedging and Vertical Integration in Electricity Markets
    by Chemla, Gilles & Porchet, Arnaud & Touzi, Nizar & Aïd, René
  • 2009 Compatibility between pricing rules and risk measures: The CCVaR
    by Alejandro Balbás & Raquel Balbás
  • 2009 Macro-Hedging for Commodity Exporters
    by Borensztein, Eduardo & Jeanne, Olivier & Sandri, Damiano
  • 2009 Indeterminacy of Competitive Equilibrium with Risk of Default
    by Bloise, Gaetano & Reichlin, Pietro & Tirelli, Mario
  • 2009 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
    by Acharya, Viral V. & Lochstoer, Lars & Ramadorai, Tarun
  • 2009 The valuation of power futures based on optimal dispatch
    by DE MAERE D’AERTRYCKE, Gauthier & SMEERS, Yves
  • 2009 Bayesian option pricing using mixed normal heteroskedasticity models
    by ROMBOUTS, Jeroen V.K. & STENTOFT, Lars
  • 2009 Implementing Binomial Trees
    by Manfred Gilli & Enrico Schumann
  • 2009 Una aproximación teórica a la superficie de volatilidad en el mercado colombiano a través del modelo de difusión con saltos
    by Carlos León
  • 2009 The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic
    by Jakub Seidler & Petr Jakubik
  • 2009 Valuation Of Vix Derivatives
    by Javier Mencía & Enrique Sentana
  • 2009 Bankruptcy Codes, Liquidation Timing, And Debt Valuation
    by Max Bruche
  • 2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
    by Jeroen Rombouts & Lars Peter Stentoft
  • 2009 Realizing Smiles: Pricing Options with Realized Volatility
    by Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA
  • 2009 Dynamic Investment and Financing under Asymmetric Information
    by Erwan MORELLEC & Norman SCHURHOFF
  • 2009 A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis
    by Giovanni Villani
  • 2009 Admissible strategies in semimartingale portfolio selection
    by Sara Biagini & Ales Cerny
  • 2009 Macroeconomic Uncertainty and Credit Default Swap Spreads
    by Christopher F Baum & Chi Wan
  • 2009 An Alternative Formula to Price American Options
    by Rocío Elizondo & Pablo Padilla & Mogens Bladt
  • 2009 Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
    by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap
  • 2009 Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
    by Alejandro García & Andrei Prokopiw
  • 2009 A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
    by Eduardo Rossi & Paolo Santucci de Magistris
  • 2009 Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
    by Dennis Kristensen & Antonio Mele
  • 2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
    by Jeroen V.K. Rombouts & Lars Stentoft
  • 2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen
  • 2009 Characteristics Of Japan'S Commodities Index And Its Correlation With Stock Index
    by Yamori NOBUYOSHI
  • 2009 Modeling Dynamics of Oil Prices under Different Regimes of Oil Market Development
    by Varshavsky , Leonid
  • 2009 Model Uncertainty and Liquidity
    by Bryan Routledge & Stanley Zin
  • 2009 Valuation of Convexity Related Interest Rate Derivatives
    by Jiří Witzany
  • 2009 Algorithm For Generalized Garman Equation In Option Pricing Of A Financial Derivatives With Stochastic Volatility Models
    by Socaciu Tiberiu & Danubianu Mirela & Maxim Ioan & Naaji Antoanela
  • 2009 Modelización de las expectativas y estrategias de inversión en mercados de opciones
    by Begoña Font Belaire
  • 2009 Pervasive Gaming: Testing Future Context Aware Applications
    by Paul PISJAK & Stefan FELDER & Ernst-Olav RUHLE & Martin LUNDBORG & Matthias EHRLER
  • 2009 Cash Flow Statements
    by Jadranka Kapic
  • 2009 Computational Efficiency and Accuracy in the Valuation of Basket Options
    by Pengguo Wang
  • 2009 Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach
    by Jakub Seidler & Petr Jakubík
  • 2009 Model Selection and Estimation of Long-Memory Time-Series Models
    by Katelijne A.E. Carbonez
  • 2009 International Portfolio Diversification: Evidence from European Emerging Markets
    by Nikolaos L. Hourvouliades
  • 2009 Una Contribución a la Valuación de los Synthetic CDO
    by García Castillo, Francisco
  • 2009 Price volatility forecasts for agricultural commodities:an application of volatility models,option implieds and composite approaches forfutures prices of corn and wheat
    by Benavides, Guillermo
  • 2009 Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media
    by García de la Vega, Víctor Manuel & Ruiz Porras, Antonio
  • 2009 Pricing Foreign Equity Options with Stochastic Correlation and Volatility
    by Jun Ma
  • 2009 The Development of New Catastrophe Risk Markets
    by Howard C. Kunreuther & Erwann O. Michel-Kerjan
  • 2009 The Term Structure of Interest Rates
    by Robert A. Jarrow
  • 2009 Credit Risk Models
    by Robert A. Jarrow
  • 2009 Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities
    by Yacine A�t-Sahalia
  • 2009 Volatility Derivatives
    by Peter Carr & Roger Lee
  • 2009 New financial derivatives on Romanian market - contracts for difference
    by Mircea CIOLPAN
  • 2009 World Oil: Market or Mayhem?
    by James L. Smith
  • 2008 Risk Management in Electricity Markets: Hedging and Market Incompleteness
    by Willems, Bert & Morbee, J.
  • 2008 Entry Strategies of Partnerships versus Conventional Firms
    by Michele Moretto & Gianpaolo Rossini
  • 2008 On the lognormality of forward credit default swap spreads
    by Jabbour, George & El Masri, Fatena & Young, Stephen
  • 2008 Dilution and Dividend Effects on the Portuguese Equity Warrants Market
    by José Eduardo Correia & João Duque
  • 2008 Türkiye’de Döviz ve Endeks Futures Sözleşmelerinin Stokastik Modellenmesi
    by Alper ÖZÜN & Mehmet TÜRK
  • 2008 Pricing American options with Mellin transforms
    by Frontczak, Robert & Schöbel, Rainer
  • 2008 Was kostet eine Garantie? Ein statistischer Vergleich der Rendite von langfristigen Anlagen
    by Becker, Christoph & Wystup, Uwe
  • 2008 Forward-start options in the Barndorff-Nielsen-Shephard Model
    by Keller-Ressel, Martin & Kilin, Fiodar
  • 2008 On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model
    by Griebsch, Susanne & Wystup, Uwe
  • 2008 Pro-rata matching and one-tick futures markets
    by Field, Jonathan & Large, Jeremy
  • 2008 A partially linear approach to modelling the dynamics of spot and futures prices
    by Gaul, Jürgen & Theissen, Erik
  • 2008 A value at risk analysis of credit default swaps
    by Scheicher, Martin & Raunig, Burkhard
  • 2008 The pricing of correlated default risk: evidence from the credit derivatives market
    by Zhu, Haibin & Tarashev, Nikola A.
  • 2008 Market conditions, default risk and credit spreads
    by Tang, Dragon Yongjun & Yan, Hong
  • 2008 Modelling energy forward prices
    by Joanna Janczura & Aleksander Weron
  • 2008 An efficient binomial approach to the pricing of options on stocks with cash dividends
    by Martina Nardon & Paolo Pianca
  • 2008 Real World Pricing for a Modified Constant Elasticity of Variance Model
    by Shane M Miller & Eckhard Platen
  • 2008 Exchange Options Under Jump-Diffusion Dynamics
    by Gerald H. L. Cheang & Carl Chiarella
  • 2008 Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model
    by Carl Chiarella & Viviana Fanelli & Silvana Musti
  • 2008 On Honest Times in Financial Modeling
    by Ashkan Nikeghbali & Eckhard Platen
  • 2008 Distributional Deviations in Random Number Generation in Finance
    by Sergio Chavez & Eckhard Platen
  • 2008 A Unifying Approach to Asset Pricing
    by Eckhard Platen
  • 2008 Hedge Portfolios in Markets with Price Discontinuities
    by Gerald H.L. Cheang & Carl Chiarella
  • 2008 Analytic Pricing of Contingent Claims Under the Real-World Measure
    by Shane Miller & Eckhard Platen
  • 2008 The Law of Minimum Price
    by Eckhard Platen
  • 2008 Hedging for the Long Run
    by Eckhard Platen & Hardy Hulley
  • 2008 Betting on Hitler: The value of political connections in Nazi Germany
    by Joachim Voth & Thomas Ferguson
  • 2008 A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
    by Elisa Alòs & Jorge A. León & Monique Pontier & Josep Vives
  • 2008 R&D Cooperation in Real Option Game Analysis
    by Giovanni Villani
  • 2008 Predicting the Fed
    by Kenneth B. Petersen & Vladimir Pozdnyakov
  • 2008 Volatility Exposure for Strategic Asset Allocation
    by Marie Briere & Alexandre Burgues & Ombretta Signori
  • 2008 Jump and Cojump Risk in Subprime Home Equity Derivatives
    by Bruce Mizrach
  • 2008 Asset prices, debt constraints and inefficiency
    by Gaetano Bloise & Pietro Reichlin
  • 2008 Incomplete Financial Markets and Contingent Claim Pricing in a dual expected utility theory framework
    by Massimiliano Corradini & Andrea Gheno
  • 2008 Interview with Nobel Prize Laureate Myron S. Scholes
    by Scholes, Myron S.
  • 2008 An analytically tractable time-changed jump-diffusion default intensity model
    by Naoufel El-Bachir & Damiano Brigo
  • 2008 Markov Switching GARCH Diffusion
    by Carol Alexander & Emese Lazar
  • 2008 A model for pricing real estate derivatives with stochastic interest rates
    by Ciurlia, Pierangelo & Gheno, Andrea
  • 2008 The Economics of Financial Derivative Instruments
    by NWAOBI, GODWIN C
  • 2008 A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions
    by Fang, Fang & Oosterlee, Kees
  • 2008 Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions
    by Fang, Fang & Oosterlee, Kees
  • 2008 Investment Model Uncertainty and Fair Pricing
    by Los, Cornelis A. & Tungsong, Satjaporn
  • 2008 Dynamic Conditioning and Credit Correlation Baskets
    by Albanese, Claudio & Vidler, Alicia
  • 2008 Multi-asset Spread Option Pricing and Hedging
    by Li, Minqiang & Deng, Shijie & Zhou, Jieyun
  • 2008 A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions
    by Fang, Fang & Oosterlee, Kees
  • 2008 Numeraire Invariance and application to Option Pricing and Hedging
    by Jamshidian, Farshid
  • 2008 Risky Swaps
    by Gikhman, Ilya
  • 2008 Risky Swaps
    by Gikhman, Ilya
  • 2008 Closed-Form Approximations for Spread Option Prices and Greeks
    by Li, Minqiang
  • 2008 Risky Swaps
    by Gikhman, Ilya
  • 2008 An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility
    by Li, Minqiang
  • 2008 Natural volatility and option pricing
    by Carey, Alexander
  • 2008 Liquidity-Induced Dynamics in Futures Markets
    by Fagan, Stephen & Gencay, Ramazan
  • 2008 Approximating correlated defaults
    by Rosenthal, Dale W.R.
  • 2008 Multiple risky securities valuation I
    by Ilya, Gikhman
  • 2008 Implied Volatility with Time-Varying Regime Probabilities
    by Lanne, Markku & Ahoniemi, Katja
  • 2008 Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
    by Bianchetti, Marco
  • 2008 Valuing Coupon Bond Linked to Variable Interest Rate
    by Giandomenico, Rossano
  • 2008 Asset Liability Management for Banks
    by Giandomenico, Rossano
  • 2008 Pricing of Double Barrier Options by Spectral Theory
    by Dell'Era Mario, M.D.
  • 2008 Pricing of the European Options by Spectral Theory
    by Dell'Era Mario, M.D.
  • 2008 Levy Density Based Intensity Modeling of the Correlation Smile
    by Balakrishna, B S
  • 2008 'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?
    by Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob
  • 2008 Real Option Games with R&D and Learning Spillovers
    by Martzoukos, Spiros H & Zacharias, Eleftherios
  • 2008 Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern
    by Li, Minqiang
  • 2008 A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation
    by Li, Minqiang
  • 2008 Cash Flow-Wise ABCDS pricing
    by Penasse, Julien
  • 2008 A semiparametric factor model for electricity forward curve dynamics
    by Borak, Szymon & Weron, Rafal
  • 2008 Hedging error in Lévy models with a Fast Fourier Transform approach
    by Flavio Angelini & Marco Nicolosi
  • 2008 Forecasting temperature indices with timevarying long-memory models
    by Massimiliano Caporin & Juliusz Pres
  • 2008 Are Workers Enterprises Entry Policies Conventional?
    by Michele Moretto & Gianpaolo Rossini
  • 2008 Mispricing of S&P 500 Index Options
    by George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis
  • 2008 The True Cost of Social Security
    by Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross
  • 2008 Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors
    by Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst
  • 2008 Derivatives Markets for Home Prices
    by Robert J. Shiller
  • 2008 Consumption and Portfolio Choice with Option-Implied State Prices
    by Yacine Aït-Sahalia & Michael W. Brandt
  • 2008 Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk
    by Bruce Lehmann
  • 2008 Option pricing under GARCH models with generalized hyperbolic innovations (II) : data and results
    by Christophe Chorro & Dominique Guegan & Florian Ielpo
  • 2008 Option pricing under GARCH models with generalized hyperbolic innovations (I) : methodology
    by Christophe Chorro & Dominique Guegan & Florian Ielpo
  • 2008 Pricing bivariate option under GARCH processes with time-varying copula
    by Jing Zhang & Dominique Guegan
  • 2008 Option based forecasts of volatility: An empirical study in the DAX index options market
    by Silvia Muzzioli
  • 2008 Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities
    by Csaba Csávás
  • 2008 Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates?
    by Anna Naszódi
  • 2008 Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
    by Chiaki Hara & James Huang & Christoph Kuzmics
  • 2008 Short-term electricity futures prices: Evidence on the time-varying risk premium
    by Hipòlit Torró & Julio Lucia
  • 2008 Do Futures Benefit Farmers?
    by Lence, Sergio H.
  • 2008 Forward Trading in Exhaustible-Resource Oligopoly
    by Juan-Pablo Montero & Matti Liski
  • 2008 A semiparametric factor model for electricity forward curve dynamics
    by Szymon Borak & Rafał Weron
  • 2008 Numerics of Implied Binomial Trees
    by Wolfgang Härdle & Alena Mysickova
  • 2008 Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios
    by C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang
  • 2008 A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach
    by Cho-Hoi Hui & Chi-Fai Lo
  • 2008 Market Expectation of Appreciation of the Renminbi
    by Cho-Hoi Hui & Chi-Fai Lo & Tsz-Kin Chung
  • 2008 Heterogeneous Impatience in a Continuous-Time Model
    by Hara, Chiaki
  • 2008 Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
    by Hara, Chiaki & Huang, James & Kuzmics, Christoph
  • 2008 Continuous Monitoring: Look before You Leap
    by Lindset, Snorre & Persson, Svein-Arne
  • 2008 Level dependent annuities: Defaults of multiple degrees
    by Mjøs, Aksel & Persson, Svein-Arne
  • 2008 Game-theoretical, Strategic forward Contracting in the Electricity Market
    by Holmberg, Pär
  • 2008 The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems
    by Helder Sebastião
  • 2008 Valuing American Derivatives by Least Squares Methods
    by Mario Cerrato
  • 2008 Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
    by Nicole Branger & Christian Schlag
  • 2008 A Long-Run Risks Model of Asset Pricing with Fat Tails
    by Zhiguang Wang & Prasad V. Bidarkota
  • 2008 Incomplete Information in a Long Run Risks Model of Asset Pricing
    by Prasad V. Bidarkota
  • 2008 Uma análise empírica de eficiência relativa nos mercados futuro e à vista de açúcar
    by Roseli da Silva & Rodrigo Takeuchi
  • 2008 Implied Market Loss Given Default: structural-model approach
    by Jakub Seidler
  • 2008 Valuation of Convexity Related Derivatives
    by Jiří Witzany
  • 2008 Derivatives Markets for Home Prices
    by Shiller, Robert J.
  • 2008 Measuring idiosyncratic risks in leveraged buyout transactions
    by Gottschalg, Oliver & Groh, Alexander Peter & Baule, Rainer
  • 2008 Impact Of Proposed Commodity Transaction Tax On Futures Trading In India
    by Pravakar Sahoo & Rajiv Kumar
  • 2008 Multivariate Feller conditions in term structure models: Why do(n't) we care?
    by Peter Spreij & Enno Veerman & Peter Vlaar
  • 2008 Theory of Storage: An Empirical Assessment of the European Natural Gas Market
    by Marcus Stronzik & Margarethe Rammerstorfer & Anne Neumann
  • 2008 The Determinants Of Volatility On The American Crude Oil Futures Market
    by Riva, Fabrice & Lautier, Delphine
  • 2008 Do Leveraged Credit Derivatives Modify Credit Allocation ?
    by Viala, Jean-Renaud & Boulier, Jean-François & Brière, Marie
  • 2008 A market for weather risk ? Worlds in conflict and compromising
    by Rainelli, Hélène & Huault, Isabelle
  • 2008 GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation
    by Zakoïan, Jean-Michel & Regnard, Nazim
  • 2008 A market for weather risk ? Worlds in conflict and compromising
    by Rainelli, Hélène & Huault, Isabelle
  • 2008 Systematic credit risk: CDX index correlation and extreme dependence
    by Aboura, Sofiane & Wagner, Niklas
  • 2008 Derivatives Markets for Home Prices
    by Robert J. Shiller
  • 2008 The Virtues and Vices of Equilibrium and the Future of Financial Economics
    by J. Doyne Farmer & John Geanakoplos
  • 2008 Capital requirements: Are they the best solution?
    by Alejandro Balbas
  • 2008 Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels
    by Nikolay Gospodinov & Masayuki Hirukawa
  • 2008 Asset Prices, Debt Constraints and Inefficiency
    by Bloise, Gaetano & Reichlin, Pietro
  • 2008 On the Impact of Forward Contract Obligations in Multi-Unit Auctions
    by de Frutos, Maria-Angeles & Fabra, Natalia
  • 2008 La subvencion financiera del coste de la deuda: la importancia de la pregunta en la investigacion financiera
    by Mariano Gonzalez Sanchez & Ignacio Velez-Pareja & Ana Isabel Mateos Ansotegui
  • 2008 The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing
    by Marc Chesney & Luca Taschini
  • 2008 Barrier Options and a Reflection Principle of the Fractional Brownian Motion
    by Cipian Necula
  • 2008 Pricing European and Barrier Options in the Fractional Black-Scholes Market
    by Ciprian Necula
  • 2008 Option Pricing in a Fractional Brownian Motion Environment
    by Cipian Necula
  • 2008 A Framework for Derivative Pricing in the Fractional Black-Scholes Market
    by Ciprian Necula
  • 2008 Summary statistics of option-implied probability density functions and their properties
    by Lynch, Damien & Panigirtzoglou, Nikolaos
  • 2008 On the foundations of Lévy finance: Equilibrium for a single-agent financial market with jumps
    by Frederik Herzberg
  • 2008 La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières
    by Coffinet, J.
  • 2008 Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account
    by Elif C. Arbatli
  • 2008 Default Dependence: The Equity Default Relationship
    by Stuart M. Turnbull & Jun Yang
  • 2008 Expected Stock Returns and Variance Risk Premia
    by Tim Bollerslev & Tzuo Hao & George Tauchen
  • 2008 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
    by Lars Stentoft
  • 2008 Option Pricing using Realized Volatility
    by Lars Stentoft
  • 2008 Volatility Components, Affine Restrictions and Non-Normal Innovations
    by Peter Christoffersen & Kris Dorion & Yintian Wang
  • 2008 Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières
    by Kourouvakalis, Stylianos
  • 2008 Arbitrages and Arrow-Debreu Prices
    by Gaia Barone
  • 2008 Financial instruments to hedge commodity price risk for developing countries
    by Lu, Yinqiu & Neftci, Salih
  • 2008 Examination of selected improvement approaches to Monte Carlo simulation in option pricing
    by Tomáš Tichý
  • 2008 Investigating a thin-capitalization rule: An option-based analysis
    by Jan Vlachý
  • 2008 Algunas aplicaciones de la Teoría de Lie a la Economía y las Finanzas = Some Applications of Lie Theory to Economics and Finance
    by Hernández Fernández, Isabel & Mateos Contreras, Consuelo & Núñez Valdés, Juan & Tenorio Villalón, Ángel F.
  • 2008 Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model
    by Nikola Tarashev & Haibin Zhu
  • 2008 An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process
    by Fujita, Takahiko & Ishimura, Naoyuki & Tanaka, Daichi
  • 2008 First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights
    by Martina Nardon
  • 2008 Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion
    by Martin Cincibuch & Matrina Horníková
  • 2008 Rendimientos del mercado accionario y depreciaciones cambiarias en México: 1988-2007
    by Domingo Rodríguez Benavides & Arturo Morales Castro
  • 2008 The Performance of the A0( ) Diffusion Model to Hedge a Forward Commitment in the Corn Market
    by C. de Ville de Goyet
  • 2008 The Performance of the A0( ) Diffusion Model to Hedge a Forward Commitment in the Corn Market
    by C. de Ville de Goyet
  • 2008 Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso – US dollar
    by Guillermo Benavides Perales & Israel Felipe Mora Cuevas
  • 2008 Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media
    by Francisco Venegas-Martínez & Francisco J. Sánchez-Torres
  • 2008 El modelo de Vasicek y la integral de trayectoria de Feynman
    by Francisco Ortiz-Arango & Francisco Venegas-Martínez
  • 2008 Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
    by Li, Ming-Yuan Leon
  • 2008 The ABX: how do the markets price subprime mortgage risk?
    by Ingo Fender & Martin Scheicher
  • 2008 Credit derivatives an structured creit: the nascant markets of Asia and the Pacific
    by Eli M Remolona & Ilhyock Shim
  • 2008 Financial Stability of the Turkish Banking Sector
    by Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya
  • 2007 The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism
    by Yasuo Takatsuki
  • 2007 Default Contagion in Large Homogeneous Portfolios
    by Herbertsson, Alexander
  • 2007 Optimal selling strategies by a large player in energy markets
    by Kalife, Aymeric
  • 2007 Information Asymmetry in the French Market around Crises
    by Bellalah, Mondher & Aboura, Sofiane
  • 2007 The Dynamics of Mergers and Acquisitions in Oligopolistic Industries
    by Dirk Hackbarth & Jianjun Maio
  • 2007 Optionsbewertung unter Lévy-Prozessen – Eine Analyse für den deutschen Aktienindex
    by Andreas Rathgeber
  • 2007 Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación
    by Venegas-Martínez, Francisco
  • 2007 Modelo de opciones reales y aplicación al mercado petrolero
    by Hernández del Valle, Adrián & Martínez García, Claudia Icela
  • 2007 Default swaps and hedging credit baskets
    by Schmidt, Wolfgang M.
  • 2007 Accelerating the calibration of stochastic volatility models
    by Kilin, Fiodar
  • 2007 Extended-Gaussian Term Structure Models and Credit Risk Applications
    by Marco Realdon
  • 2007 An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)
    by Marco Realdon
  • 2007 A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press)
    by Marco Realdon
  • 2007 Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis
    by Paola Zerilli
  • 2007 Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
    by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen
  • 2007 Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities
    by Uwe Küchler & Eckhard Platen
  • 2007 Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices
    by Eckhard Platen & Renata Rendek
  • 2007 A Benchmark Approach to Portfolio Optimization under Partial Information
    by Eckhard Platen & Wolfgang Runggaldier
  • 2007 Forecasting Implied Volatility Surfaces
    by Francesco Audrino & Dominik Colagelo
  • 2007 Ambiguity Aversion and the Term Structure of Interest Rates
    by Patrick Gagliardini & Paolo Porchia & Fabio Trojani
  • 2007 Interval LU-fuzzy arithmetic in the Black and Scholes option pricing
    by Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini
  • 2007 Modelling Credit Spreads evolution using the Cox Process within the HJM framework
    by Viviana Fanelli & Silvana Musti
  • 2007 Pricing of CDS Options with the HJM approach: a Numerical Implementation
    by Viviana Fanelli & Silvana Musti
  • 2007 Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework
    by Luca Anzilli & Luigi De Cesare
  • 2007 Strategic Technology Adoption and Market Dynamics as Option Games
    by Flavia Cortelezzi & Giovanni Villani
  • 2007 A Monte Carlo approach to value exchange options using a single stochastic factor
    by Giovanni Villani
  • 2007 Automated Likelihood Based Inference for Stochastic Volatility Models
    by Hans J. Skaug & Jun Yu
  • 2007 Automated Likelihood Based Inference for Stochastic Volatility Models
    by Jun Yu
  • 2007 Arbitrage and Simple Financial Market Efficiency during the South Sea Bubble: A Comparative Study of the Royal African and South Sea Companies Subscription Share Issues
    by Gary S. Shea
  • 2007 Contingent Claim Pricing In A Dual Expected Utility Theory Framework
    by Massimiliano Corradini & Andrea Gheno
  • 2007 An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model
    by Damiano Brigo & Naoufel El-Bachir
  • 2007 A new Model for Stock Price Movements
    by Venier, Guido
  • 2007 Decomposing and valuing callable convertible bonds: a new method based on exotic options
    by Zhou, Qi-Yuan & Wu, Chong-Feng & Feng, Yun
  • 2007 The Impact of Return Nonnormality on Exchange Options
    by Li, Minqiang
  • 2007 Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options
    by Saurabha, Rritu & Tiwari, Manvendra
  • 2007 An Hilbert space approach for a class of arbitrage free implied volatilities models
    by Brace, Alan & Fabbri, Giorgio & Goldys, Benjamin
  • 2007 Joint Modeling of Call and Put Implied Volatility
    by Ahoniemi, Katja & Lanne, Markku
  • 2007 Some mathematical properties of the futures market platform
    by Laib, Fodil & Laib, M.S.
  • 2007 Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
    by Paschke, Raphael & Prokopczuk, Marcel
  • 2007 Moment Methods for Exotic Volatility Derivatives
    by Albanese, Claudio & Osseiran, Adel
  • 2007 Callable Swaps, Snowballs And Videogames
    by Albanese, Claudio
  • 2007 A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs
    by Albanese, Claudio & Vidler, Alicia
  • 2007 Tradable measure of risk
    by Pospisil, Libor & Vecer, Jan & Xu, Mingxin
  • 2007 Free boundary and optimal stopping problems for American Asian options
    by Andrea, Pascucci
  • 2007 Exchange Options
    by Jamshidian, Farshid
  • 2007 Long run credit risk diversification: empirical decomposition of corporate bond spreads
    by Sun, David & Lin, William & Nieh, Chien-Chung
  • 2007 Hedging Effectiveness under Conditions of Asymmetry
    by Cotter, John & Hanly, James
  • 2007 Malliavin differentiability of the Heston volatility and applications to option pricing
    by Alos, Elisa & Ewald, Christian-Oliver
  • 2007 CMS swaps in separable one-factor Gaussian LLM and HJM model
    by Henrard, Marc
  • 2007 The irony in the derivatives discounting
    by Henrard, Marc
  • 2007 A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
    by Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees
  • 2007 Stressing rating criteria allowing for default clustering: the CPDO case
    by Torresetti, Roberto & Pallavicini, Andrea
  • 2007 Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options
    by Henrard, Marc
  • 2007 Delayed Default Dependency and Default Contagion
    by Balakrishna, B S
  • 2007 Corporate debt pricing I
    by Ilya, Gikhman
  • 2007 Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives
    by Francois-Éric Racicot
  • 2007 Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab
    by Francois-Éric Racicot & Raymond Théoret
  • 2007 Explicit formulas for the minimal variance hedging strategy in a martingale case
    by Flavio Angelini & Stefano Herzel
  • 2007 Measuring the error of dynamic hedging: a Laplace transform approach
    by Flavio Angelini & Stefano Herzel
  • 2007 Partnerships vs. Firms Entry Strategies
    by Michele Moretto & Gianpaolo Rossini
  • 2007 Utility Indifference Pricing in an Incomplete Market Model with Incomplete Information
    by Kazuhiro Takino
  • 2007 The institutional aspects of the Dojima rice exchange market in Tokugawa era: The role of governance mechanism
    by Yasuo Takatsuki
  • 2007 Optimal Portfolio Choice and Investment in Education
    by Egil Matsen & Snorre Lindset
  • 2007 Construction and Interpretation of Model-Free Implied Volatility
    by Torben G. Andersen & Oleg Bondarenko
  • 2007 Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices
    by Xavier Gabaix
  • 2007 Real Options With Uncertain Maturity and Competition
    by Kristian R. Miltersen & Eduardo S. Schwartz
  • 2007 The relation between implied and realised volatility: are call options more informative than put options? Evidence from the DAX index options market
    by Silvia Muzzioli
  • 2007 Testing Market Efficiency and Price Discovery in European Carbon Markets
    by George Milunovich & Roselyne Joyeux
  • 2007 A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors
    by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato
  • 2007 On Debt Service and Renegotiation when Debt-holders Are More Strategic
    by Jean-Marc Bourgeon & Georges Dionne
  • 2007 Sensitivities for Bermudan Options by Regression Methods
    by Denis Belomestny & Grigori Milstein & John Schoenmakers
  • 2007 Statistics of Risk Aversion
    by Enzo Giacomini & Wolfgang Härdle
  • 2007 Empirical Pricing Kernels and Investor Preferences
    by Kai Detlefsen & Wolfgang Härdle & Rouslan Moro
  • 2007 Bookmaker and pari-mutuel betting: Is a (reverse) favourite-longshot bias built-in?
    by Alexander K. Koch & Hui-Fai Shing
  • 2007 Is the Hong Kong Dollar Exchange Rate "Bounded" in the Convertibility Zone?
    by Cho-Hoi Hui & Tom Fong
  • 2007 Ratings Versus Market-Based Measures of Default Risk of East Asian Banks
    by Eric Wong & Cho-Hoi Hui & Chi-fai Lo
  • 2007 Valuing Foreign Currency Options with a Mean-Reverting Process: A Study of Hong Kong Dollar
    by Cho-hoi Hui & Vincent Yeung & Laurence Fung & Chi-Fai Lo
  • 2007 Measuring Market Sentiment in Hong Kong's Stock Market
    by Ip-wing Yu & Chi-sang Tam
  • 2007 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
    by Hara, Chiaki & Huang, James & Kuzmics, Christoph
  • 2007 Risk Exchange as a Market or Production Game
    by Borglin, Anders & Flåm, Sjur
  • 2007 Rationalizing Constrained Contingent Claims
    by Borglin, Anders & Flåm, Sjur
  • 2007 Modelling Default Contagion Using Multivariate Phase-Type Distributions
    by Herbertsson, Alexander
  • 2007 Pricing Synthetic CDO Tranches in a Model with Default Contagion Using the Matrix-Analytic Approach
    by Herbertsson, Alexander
  • 2007 Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach
    by Herbertsson, Alexander & Rootzén, Holger
  • 2007 Accounting Transparency and the Term Structure of Credit Default Swap Spreads
    by Bajlum, Claus & Tind Larsen, Peter
  • 2007 Risk exchange as a market or production game
    by Borglin, Anders & Flåm, Sjur Didrik
  • 2007 Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers
    by Ardia, David
  • 2007 Forecasting Weekly Electricity Prices at Nord Pool
    by Hipòlit Torró
  • 2007 Are Workers. Enterprises Entry Policies Conventional
    by Michele Moretto & Gianpaolo Rossini
  • 2007 Hedging Exposure to Electricity Price Risk in a Value at Risk Framework
    by Huisman, R. & Mahieu, R.J. & Schlichter, F.
  • 2007 Measuring idiosyncratic risks in leveraged buyout transactions
    by Groh, Alexander P. & Baule, Rainer & Gottschalg, Oliver
  • 2007 Term Structure Modeling for Pension Funds:What to do in Practice?
    by Peter Vlaar
  • 2007 Regulatory Change and Micro Structure Effects in SPI Futures
    by Gerard Gannon & Chi-Ying Chang
  • 2007 The Forward Premium Puzzle only emerges gradually
    by Kerstin Bernoth & J�rgen von Hagen & Casper G. de Vries
  • 2007 Option Pricing and Momentum
    by Rodriguez, J.C.
  • 2007 A Preference-Free Formula to Value Commodity Derivatives
    by Rodriguez, J.C.
  • 2007 Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
    by Acharya, Viral V & Schaefer, Stephen M & Zhang, Yili
  • 2007 What Do We Learn from the Price of Crude Oil Futures?
    by Alquist, Ron & Kilian, Lutz
  • 2007 Unlocking Value: Equity Carve outs as Strategic Real Options
    by Perotti, Enrico C & Rossetto, Silvia
  • 2007 Understanding Index Option Returns
    by Broadie, Mark & Chernov, Mikhail & Johannes, Michael
  • 2007 Measuring the Financial Markets' Perception of EMU Enlargement: The Role of Ambiguity Aversion
    by Martin Cincibuch & Martina Hornikova
  • 2007 Stochastic Volatility: Risk Minimization and Model Risk
    by Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe
  • 2007 Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
    by Elisa Luciano & Patrizia Semeraro
  • 2007 Estimating the Cost of Executive Stock Options: Evidence from Switzerland
    by Wolfgang Drobetz & Pascal Pensa & Markus M. Schmid
  • 2007 The tail wags the dog: time-varying information shares in the Bund market
    by Christian Upper & Thomas Werner
  • 2007 Parametric properties of semi-nonparametric distributions, with applications to option valuation
    by Ángel León & Javier Mencía & Enrique Sentana
  • 2007 Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
    by Bryan Campbell & Scott Hendry
  • 2007 Price Discovery in Canadian Government Bond Futures and Spot Markets
    by Christopher Chung & Bryan Campbell & Scott Hendry
  • 2007 Market Power in Power Markets: Evidence from Forward Prices of Electricity
    by Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard
  • 2007 Construction and Interpretation of Model-Free Implied Volatility
    by Torben G. Andersen & Oleg Bondarenko
  • 2007 Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
    by Tim Bollerslev & Michael Gibson & Hao Zhou
  • 2007 Racionalidad economica implicita en teoria financiera
    by Francisco Venegas-Martinez
  • 2007 Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©
    by Merino, María & Vadillo, Fernando
  • 2007 Party Influence in Congress and the Economy
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric
  • 2007 Desarrollo del mercado de derivados cambiarios en Chile
    by Luís Antonio Ahumada & Jorge Selaive C.
  • 2007 An Alternative Formulation for the Pricing of Stock Index Futures: Theoretical and Empirical Perspectives
    by Chou-Wen Wang & Ting-Yi Wu
  • 2007 General Equilibrium Stock Index Futures Pricing Allowing for Event Risk
    by Simon H. Yen & Jai Jen Wang
  • 2007 Call an Put Implied Volatilities and the Derivation of Option Implied Trees
    by V. Moriggia, S. Muzzioli, C. Torricelli
  • 2007 The Valuation of Mortgage Backed Securities with Stochastic Probabilities of Default and Prepayment
    by Francisco Venegas-Martínez & J. Víctor Reynoso-Vendrell
  • 2007 The Closed-form Solution for Pricing American Put Options
    by Wang Xiaodong
  • 2007 Measuring portfolio credit risk: modelling versus calibration errors
    by Nikola Tarashev & Haibin Zhu
  • 2007 Economic derivatives
    by Blaise Gadanecz & Richhild Moessner & Christian Upper
  • 2006 Pricing the CBT T-Bonds Futures
    by Ramzi Ben Abdallah & Hatem Ben Ameur & Michèle Breton
  • 2006 A closed form approach to valuing and hedging basket options
    by Svetlana Borovkova & Ferry Permana
  • 2006 Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics
    by Carl Chiarella & Andrew Ziogas
  • 2006 Non-constant volatility models a comparison
    by Paolo Foschi
  • 2006 Threshold Autoregressive Models of the Commodities Futures Basis
    by Alfonso Gutierrez & Jerry Coakley & Neil Kellard
  • 2006 Capture Basin Algorithm for Evaluating and Managing Complex Financial Instruments
    by Dominique Pujal & Patrick Saint-Pierre
  • 2006 Numerical Methods for American Spread Options under Jump Diffusion Processes
    by Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics & Gerald H. L. Cheang & Carl Chiarella & Gunter Meyer & Andrew Ziogas
  • 2006 Allocation of Individual Risks in a Market Economy
    by Pamela Labadie
  • 2006 The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach
    by Riva, Fabrice & Deville, Laurent
  • 2006 The determinants of the time to efficiency in options markets : a survival analysis approach
    by Riva, Fabrice & Deville, Laurent
  • 2006 Correlation and the Pension Protection Fund
    by Paul Sweeting
  • 2006 An overreaction implementation of the coherent market hypothesis and option pricing
    by Schöbel, Rainer & Veith, Jochen
  • 2006 Risk preference based option pricing in a fractional Brownian market
    by Rostek, Stefan & Schöbel, Rainer
  • 2006 Interest rate convexity and the volatility smile
    by Boenkost, Wolfram & Schmidt, Wolfgang M.
  • 2006 Strategic trading and manipulation with spot market power
    by Muermann, Alexander & Shore, Stephen H.
  • 2006 Stochastic modeling of private equity: an equilibrium based approach to fund valuation
    by Buchner, Axel & Kaserer, Christoph & Wagner, Niklas
  • 2006 Forecasting the price of crude oil via convenience yield predictions
    by Knetsch, Thomas A.
  • 2006 Valuation of the Firm's Liabilities when Equity Holders are also Creditors
    by Marco Realdon
  • 2006 The Target Rate and Term Structure of Interest Rates
    by Marco Realdon
  • 2006 Equity Valuation Under Stochastic Interest Rates
    by Marco Realdon
  • 2006 Book Values and Market Values of Equity and Debt
    by Marco Realdon
  • 2006 Quadratic Term Structure Models in Discrete Time
    by Marco Realdon
  • 2006 Financial engineering methods in insurance
    by Jan Iwanik
  • 2006 On the efficient application of the repeated Richardson extrapolation technique to option pricing
    by Luca Barzanti & Corrado Corradi & Martina Nardon
  • 2006 On the Pricing and Hedging of Long Dated Zero Coupon Bonds
    by Eckhard Platen
  • 2006 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
    by Truc Le & Eckhard Platen
  • 2006 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index
    by Truc Le & Eckhard Platen
  • 2006 On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
    by Nicola Bruti-Liberati & Eckhard Platen
  • 2006 Approximation of Jump Diffusions in Finance and Economics
    by Nicola Bruti-Liberati & Eckhard Platen
  • 2006 On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
    by Elisa Alòs & Jorge A. León & Josep Vives
  • 2006 The epistemology of modern finance
    by Xavier De Scheemaekere
  • 2006 Market Reactions to Central Bank Communication Policies :Reading Interest Rate Options Smiles
    by Marie Briere
  • 2006 Stratégies d'investissement en actions et fonds à capital garanti
    by Roland Gillet & Isabelle Nagot & Ariane Szafarz
  • 2006 A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion
    by André Farber & Van Huu Nguyen & Quan Hoang Vuong
  • 2006 Realized Bond-Stock Correlation: Macroeconomic Announcement Effects
    by Charlotte Christiansen & Angelo Ranaldo
  • 2006 Pricing problems of perpetual Bermudan options
    by Yoshifumi Muroi & Takashi Yamada
  • 2006 Artificial Neural Network Enhanced Parametric Option Pricing
    by Panayiotis C. Andreou & Chris Charalambous & Spiros H. Martzoukos
  • 2006 Sir George Caswall vs. the Duke of Portland: Financial Contracts and Litigation in the wake of the South Sea Bubble
    by Gary S. Shea
  • 2006 Do Birds of a Feather Flock Together? Speculator Herding in the World Oil Market
    by Robert Weiner
  • 2006 The Returns to Currency Speculation
    by Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo
  • 2006 Debt Dilution and Maturity Structure of Sovereign Bonds
    by Ran Bi
  • 2006 Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model
    by Damiano Brigo & Naoufel El-Bachir
  • 2006 Optimal Hedging with Higher Moments
    by Chris Brooks & A.Cerny & J. Miffre
  • 2006 Hedging Options with Scale-Invariant Models
    by Carol Alexander & Leonardo M. Nogueira
  • 2006 Operator Methods, Abelian Processes And Dynamic Conditioning
    by Albanese, Claudio
  • 2006 A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
    by Albanese, Claudio & Lo, Harry & Stathis, Tompaidis
  • 2006 Spectral Methods For Volatility Derivatives
    by Albanese, Claudio & Mijatovic, Aleksandar
  • 2006 Higher-order volatility: dynamics and sensitivities
    by Carey, Alexander
  • 2006 Path-conditional forward volatility
    by Carey, Alexander
  • 2006 Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels
    by Lin, William & Sun, David
  • 2006 Accelerating the calibration of stochastic volatility models
    by Kilin, Fiodar
  • 2006 Investment timing and optimal capacity choice for small hydropower projects
    by Bøckman, Thor & Fleten, Stein-Erik & Juliussen, Erik & Langhammer, Håvard & Revdal, Ingemar
  • 2006 Bonds futures: Delta? No gamma!
    by Henrard, Marc
  • 2006 Martingale Model
    by Giandomenico, Rossano
  • 2006 Forecasting and testing a non-constant volatility
    by Abramov, Vyacheslav & Klebaner, Fima
  • 2006 Valuing an American Put Option
    by Giandomenico, Rossano
  • 2006 Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning
    by Henrard, Marc
  • 2006 Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management
    by Giandomenico, Rossano
  • 2006 Asset Liability Management in Insurance Company
    by Giandomenico, Rossano
  • 2006 A Semi-Analytical Parametric Model for Dependent Defaults
    by Balakrishna, B S
  • 2006 Some critical comments on credit risk modeling
    by ilya, gikhman
  • 2006 TIPS Options in the Jarrow-Yildirim model
    by Henrard, Marc
  • 2006 Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes
    by Francois-Éric Racicot & Raymond Théoret
  • 2006 La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)
    by Francois-Éric Racicot & Raymond Théoret
  • 2006 Les modèles HJM et LMM revisités
    by Francois-Éric Racicot & Raymond Théoret
  • 2006 La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché
    by Francois-Éric Racicot & Raymond Théoret
  • 2006 Are Volatility Expectations Characterized By Regime Shifts? Evidence From Implied Volatility Indices
    by Kazuhiko Nishina & Nabil Maghrebi & Mark J. Holmes
  • 2006 Party Influence in Congress and the Economy
    by Erik Snowberg & Justin Wolfers & Eric Zitzewitz
  • 2006 Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
    by Anders B. Trolle & Eduardo S. Schwartz
  • 2006 Bankruptcy and Collateral in Debt Constrained Markets
    by Timothy J. Kehoe & David K. Levine
  • 2006 A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
    by Anders B. Trolle & Eduardo S. Schwartz
  • 2006 Interpreting Prediction Market Prices as Probabilities
    by Justin Wolfers & Eric Zitzewitz
  • 2006 Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
    by Erik Snowberg & Justin Wolfers & Eric Zitzewitz
  • 2006 Strategic Urban Development under Uncertainty
    by Flavia Cortelezzi & Pierpaolo Giannoccolo
  • 2006 Hedgers, Investors and Futures Return Volatility: the Case of NYMEX Crude Oil
    by George Milunovich & Ronald D. Ripple
  • 2006 Heterogeneous Basket Options Pricing Using Analytical Approximations
    by Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani
  • 2006 Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks
    by Chiaki Hara & James Huang & Christoph Kuzmics
  • 2006 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
    by Chiaki Hara & James Huang & Christoph Kuzmics
  • 2006 Bankruptcy, Counterparty Risk, and Contagion
    by Holger Kraft & Mogens Steffensen
  • 2006 Interpreting Prediction Market Prices as Probabilities
    by Wolfers, Justin & Zitzewitz, Eric
  • 2006 Interpreting Prediction Market Prices as Probabilities
    by Justin Wolfers & Eric Zitzewitz
  • 2006 Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric
  • 2006 Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
    by Erik Snowberg & Justin Wolfers & Eric Zitzewitz
  • 2006 Underdeveloped spot markets and futures trading: The Soya Oil exchange in India
    by Bharat Ramaswami & Jatinder Bir Singh
  • 2006 Convenience Yields for CO2 Emission Allowance Futures Contracts
    by Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron
  • 2006 Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps
    by Pavel Gapeev
  • 2006 Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing
    by Zdenek Hlavka & Michal Pesta
  • 2006 Integral Options in Models with Jumps
    by Pavel V. Gapeev
  • 2006 On Maximal Inequalities for some Jump Processes
    by Pavel V. Gapeev
  • 2006 Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes
    by Pavel V. Gapeev
  • 2006 Perpetual Barrier Options in Jump-Diffusion Models
    by Pavel V. Gapeev
  • 2006 Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon
    by Pavel V. Gapeev
  • 2006 Spectral calibration of exponential Lévy Models [2]
    by Denis Belomestny & Markus Reiß
  • 2006 Spectral calibration of exponential Lévy Models [1]
    by Denis Belomestny & Markus Reiß
  • 2006 Tail Conditional Expectation for vector-valued Risks
    by Imen Bentahar
  • 2006 Barrier Option Hedging under Constraints: A Viscosity Approach
    by Imen Bentahar & Bruno Bouchard
  • 2006 Calibration Design of Implied Volatility Surfaces
    by Kai Detlefsen & Wolfgang Härdle
  • 2006 Closed form spread option valuation
    by Bjerksund, Petter & Stensland, Gunnar
  • 2006 Optimal Pension Insurance Design
    by Døskeland, Trond M. & Nordahl, Helge A.
  • 2006 Intergenerational Effects of Guaranteed Pension Contracts
    by Døskeland, Trond M. & Nordahl, Helge A.
  • 2006 Monetary Policy Shocks and Stock Returns: Evidence from the British Market
    by A Gregoriou & A Kontonikas & R MacDonald & A Montagnoli
  • 2006 Tractable Hedging - An Implementation of Robust Hedging Strategies
    by Nicole Branger & Antje Mahayni
  • 2006 Asset Pricing with Incomplete Information In a Discrete Time Pure Exchange Economy
    by Prasad Bidarkota & Brice Dupoyet
  • 2006 Pricing and Hedging Illiquid Energy Derivatives:an Application to the JCC Index
    by Matteo Manera & Elisa Scarpa
  • 2006 Are there Monday effects in stock returns: a stochastic dominance approach
    by Young-Hyun Cho & Oliver Linton & Yoon-Jae Whang
  • 2006 A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete
    by Peter C. B. Phillips & Jun Yu
  • 2006 Evolution et sensibilité des stock-options : cas du marché français
    by Abdelaziz Elmarzougui
  • 2006 Time-Varying Hedge Ratios: An Application to the Indian Stock Futures Market
    by Prasad Bhattacharaya & Harminder Singh & Gerard Gannon
  • 2006 Estimating Forward Pricing Function: How Efficient is Indian Stock Index Futures Market?
    by Prasad Bhattacharaya & Harminder Singh
  • 2006 Optimal Fourier Inversion in Semi-analytical Option Pricing
    by Roger Lord & Christian Kahl
  • 2006 Why the Rotation Count Algorithm works
    by Roger Lord & Christian Kahl
  • 2006 A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
    by Roger Lord & Remmert Koekkoek & Dick van Dijk
  • 2006 A super-replication theorem in Kabanov’s model of transaction costs
    by Campi, Luciano & Schachermayer, Walter
  • 2006 The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach
    by Riva, Fabrice & Deville, Laurent
  • 2006 The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
    by Bhamra, Harjoat Singh & Uppal, Raman
  • 2006 Interpreting Prediction Market Prices as Probabilities
    by Wolfers, Justin & Zitzewitz, Eric
  • 2006 Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections
    by Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric
  • 2006 Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
    by Philippe Ehlers & Philipp J. Schonbucher
  • 2006 Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges
    by Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang
  • 2006 Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk
    by Philippe Ehlers & Philipp J. Schoenbucher
  • 2006 Financing and Takeovers
    by Erwan Morellec & Alexei Zhdanov
  • 2006 Stock Returns in Mergers and Acquisitions
    by Dirk Hackbarth & Erwan Morellec
  • 2006 Inefficiencies and Market Power in Financial Arbitrage: A Study of California’s Electricity Markets
    by Christopher Knittel & Catherine Wolfram & James Bushnell & Severin Borenstein
  • 2006 Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities
    by An Chen & Michael Suchanecki
  • 2006 Hedging Basket Options by Using a Subset of Underlying Assets
    by Xia Su
  • 2006 Banks’ optimal implementation strategies for a risk sensitive regulatory capital rule: a real options and signalling approach
    by Kjell Bjørn Nordal
  • 2006 The pricing of portfolio credit risk
    by Nikola A. Tarashev & Haibin Zhu
  • 2006 Macro factors in the term structure of credit spreads
    by Maurizio Luisi & Jeffery D. Amato
  • 2006 Risk-Adjusted Forecasts of Oil Prices
    by Patrizio Pagano & Massimiliano Pisani
  • 2006 Implied default barrier in credit default swap premia
    by Francisco Alonso & Santiago Forte & José M. Marqués
  • 2006 Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
    by Fousseni Chabi-Yo
  • 2006 Un modelo de riesgo de credito basado en opciones compuestas con barrera. Aplicacion al mercado continuo espanol
    by Maria Carmen Badia Batlle & M. Mercedes Galisteo Rodriguez & M. Teresa Preixens Benedicto
  • 2006 Economic Capital Management For Insurance Companies Using Conditional Value At Risk And A Copula Approach
    by Rossella Bisignani & Giovanni Masala & Marco Micocci
  • 2006 Interpreting Recent Changes in the Credit Spreads of Japanese Banks
    by Jun Pan & Kenneth J. Singleton
  • 2006 The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis
    by Steven Li
  • 2006 Measuring Investors' Risk Appetite
    by Prasanna Gai & Nicholas Vause
  • 2006 Option Put-Call Parity Relations When the Underlying Security Pays Dividends
    by Weiyu Guo & Tie Su
  • 2006 Option Pricing with Long-Short Spreads
    by Pengguo wang
  • 2006 Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)
    by Tomáš Tichý
  • 2006 A Non-Parametric Test of the Conditional CAPM for the Mexican Economy
    by Jorge H. del Castillo-Spíndola
  • 2006 Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures
    by Quentin C. Chu & Mustafa Mesut Kayali
  • 2006 Rating, Credit Spread, and Pricing Risky Debt: Empirical Study on Taiwan's Security Market
    by Ken Hung & Chang-Wen Duan & Chin W. Yang
  • 2006 Modelos de valoración de opciones europeas en tiempo continuo
    by Jaime Villamil
  • 2006 Risk premia across asset markets: information from option prices
    by Nikola Tarashev & Kostas Tsatsaronis
  • 2005 The Valuation of Multiple Asset American Options under Jump Diffusion Processes
    by A. Ziogas & G. Cheang & C. Chiarella
  • 2005 The Valuation Of American Exchange Options Under
    by GERALD H. L. CHEANG & CARL CHIARELLA & ANDREW ZIOGAS
  • 2005 Neural Networks for Extracting the Asset Price Dynamics Implicit in Market Prices of Stock Index Options
    by Ing-Chyuan Wu
  • 2005 Alternative Characterizations of the European Continuous-Installment Option Valuation Problem
    by Ilir Roko & Pierangelo Ciurlia
  • 2005 Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index
    by Christoph Schleicher & Matthew Hurd & Mark Salmon
  • 2005 Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey
    by Ken-ichi Mitsui & Yoshio Tabata
  • 2005 La dynamique des prix et le volume sur le LES
    by Guermas, Lila
  • 2005 The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach
    by Riva, Fabrice & Deville, Laurent
  • 2005 The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach
    by Riva, Fabrice & Deville, Laurent
  • 2005 Le comportement des indices de volatilité implicite internationaux
    by Aboura, Sofiane
  • 2005 Mergers and acquisitions as a response to economic change
    by Lambrecht, Bart
  • 2005 Efficient pricing of default risk: Different approaches for a single goal
    by Brigo, Damiano & Morini, Massimo
  • 2005 The Pension Protection Fund
    by David McCarthy & Anthony Neuberger
  • 2005 Valuación actuarial de bonos catastróficos para desastres naturales en México
    by Fernández-Durán, Juan José & Gregorio-Domínguez, M. Mercedes
  • 2005 Price Discovery in the Black Pepper Market in Kerala, India
    by Aviral Chopra and David A. Bessler
  • 2005 Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie
    by Rodt, Marc & Schäfer, Klaus
  • 2005 A note on the correlation smile
    by Hager, Svenja & Schöbel, Rainer
  • 2005 Time series properties of a rating system based on financial ratios
    by Krüger, Ulrich & Stötzel, Martin & Trück, Stefan
  • 2005 The Wishart Autoregressive Process of Multivariate Stochastic Volatility
    by Joan Jasiak & R. Sufana & C. Gourieroux
  • 2005 Calibration of the multifactor HJM model for energy market
    by Ewa Broszkiewicz-Suwaj & Aleksander Weron
  • 2005 The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains
    by Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable
  • 2005 Price Adjustment at Multiproduct Retailers
    by Daniel Levy & Shantanu Dutta & Mark Bergen & Robert Venable
  • 2005 Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract
    by Dimitris Kenourgios & Aristeidis Samitas & Panagiotis Drosos
  • 2005 Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market
    by Dimitris Kenourgios
  • 2005 Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market
    by Dimitris Kenourgios
  • 2005 Libor Market Model and Gaussian HJM explicit approaches to option on composition
    by Marc Henrard
  • 2005 Valuing defaultable bonds: an excursion time approach
    by Martina Nardon
  • 2005 Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model
    by paolo pianca
  • 2005 The Foresight Bias in Monte-Carlo Pricing of Options with Early
    by Christian Fries
  • 2005 Implied Calibration of Stochastic Volatility Jump Diffusion Models
    by Stefano Galluccio & Yann Le Cam
  • 2005 Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures
    by Marc Henrard
  • 2005 Dynamic State Tameness
    by Jaime Londoño
  • 2005 Persistence Characteristics of the Chinese Stock Markets
    by Cornelis A. Los & Bing Yu
  • 2005 The Degree of Stability of Price Diffusion
    by Cornelis A. Los
  • 2005 Simulation-Based Pricing of Convertible Bonds
    by Manuel Ammann & Axel Kind & Christian Wilde
  • 2005 Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches
    by Marc Henrard
  • 2005 An empirical analysis of structural models of corporate debt pricing
    by Joao C. A. Teixeira
  • 2005 From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
    by Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil
  • 2005 Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)
    by Christian P. Fries & Joerg Kampen
  • 2005 Eurodollar futures and options: convexity adjustment in HJM one- factor model
    by Henrard Marc
  • 2005 Generic Market Models
    by Raoul Pietersz & Marcel van Regenmortel
  • 2005 A Comparison of Single Factor Markov-functional and Multi Factor Market Models
    by Raoul Pietersz & Antoon Pelsser
  • 2005 Efficient Rank Reduction of Correlation Matrices
    by Igor Grubisic & Raoul Pietersz
  • 2005 Rank Reduction of Correlation Matrices by Majorization
    by Raoul Pietersz & Patrick J. F. Groenen
  • 2005 Fast drift approximated pricing in the BGM model
    by Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel
  • 2005 Risk Managing Bermudan Swaptions in the Libor BGM Model
    by Raoul Pietersz & Antoon Pelsser
  • 2005 Market price of risk implied by Asian-style electricity options
    by Rafal Weron
  • 2005 A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
    by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl
  • 2005 On the Strong Approximation of Pure Jump Processes
    by Nicola Bruti-Liberati & Eckhard Platen
  • 2005 Investments for the Short and Long Run
    by Eckhard Platen
  • 2005 On the Strong Approximation of Jump-Diffusion Processes
    by Nicola Bruti-Liberati & Eckhard Platen
  • 2005 A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
    by Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen
  • 2005 Benchmarking and Fair Pricing Applied to Two Market Models
    by Hardy Hulley & Shane Miller & Eckhard Platen
  • 2005 Currency Derivatives under a Minimal Market Model with Random Scaling
    by David Heath & Eckhard Platen
  • 2005 On the Distributional Characterization of Log-returns of a World Stock Index
    by Kevin Fergusson & Eckhard Platen
  • 2005 On the Role of the Growth Optimal Portfolio in Finance
    by Eckhard Platen
  • 2005 Estimation of the Stylized Facts of a Stochastic Cascade Model
    by Céline Azizieh & Wolfgang Breymann
  • 2005 Scope for Credit Risk Diversification
    by Samuel Hanson & M. Hashem Pesaran & Til Schuermann
  • 2005 U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations
    by Caroline M. Betts & Timothy J. Kehoe
  • 2005 Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution
    by Sheri Markose & Amadeo Alentorn
  • 2005 Extracting expectations from currency option prices: a comparison of methods
    by Marian Micu
  • 2005 Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach
    by Alfredo Ibáñez
  • 2005 Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme
    by Oleksandr Zhylyevskyy
  • 2005 Understanding financial derivatives during the South Sea Bubble: the case of the South Sea subscription shares
    by Gary S. Shea
  • 2005 Financial Market Analysis Can Go Mad (in the search for irrational behaviour during the South Sea Bubble)
    by Gary S. Shea
  • 2005 Corporate valuations and the merton model
    by Andrea Gheno
  • 2005 O Mercado interbancário de câmbio no Brasil,Creation-Date: 2005-07
    by Marcio Gomes Pinto Garcia & Fábio Urban
  • 2005 Asymmetries and Volatility Regimes in the European Equity Markets
    by Carol Alexandra & Emese Lazar
  • 2005 On The Continuous Limit of GARCH
    by Carol Alexandra & Emese Lazar
  • 2005 Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market?
    by Adrian Bell & Chris Brooks & Paul Dryburgh
  • 2005 The Continuous Limit of GARCH Processess
    by Carol Alexandra & Emese Lazar
  • 2005 Hedging with Foreign-listed Single Stock Futures
    by Hung, Mao-wei & Lee, Cheng-few & So, Leh-chyan
  • 2005 Higher-order volatility
    by Carey, Alexander
  • 2005 Optimal investment strategies in decentralized renewable power generation under uncertainty
    by Fleten, Stein-Erik & Maribu, Karl Magnus & Wangensteen, Ivar
  • 2005 Options valuation
    by ilya, gikhman
  • 2005 L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options
    by Francois-Éric Racicot & Raymond Théoret
  • 2005 De l'évaluation du risque de crédit
    by Francois-Éric Racicot & Raymond Théoret
  • 2005 Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence
    by Luca Pieroni & Matteo Ricciarelli
  • 2005 Pricing a Bermudan Swaption with a Short Rate Lattice Method
    by Yasuhiro Tamba
  • 2005 La flexibilidad como creadora de valor. El caso de una explotaci¢n forestal en Portugal
    by Alonso Bonis, Susana & Vallelado Gonz lez, Eleuterio & Henriques Xavier, Jos‚ Manuel
  • 2005 Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology
    by Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge
  • 2005 Demand-Based Option Pricing
    by Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman
  • 2005 Notes for a Contingent Claims Theory of Limit Order Markets
    by Bruce N. Lehmann
  • 2005 Futures Prices in a Production Economy with Investment Constraints
    by Leonid Kogan & Dmitry Livdan & Amir Yaron
  • 2005 The Tactical and Strategic Value of Commodity Futures
    by Claude B. Erb & Campbell R. Harvey
  • 2005 A Theory of Takeovers and Disinvestment
    by Bart Lambrecht & Stewart C. Myers
  • 2005 The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline
    by Menzie D. Chinn & Michael LeBlanc & Olivier Coibion
  • 2005 Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects
    by Jae H. Kim & Hristos Doucouliagos
  • 2005 The no arbitrage condition in option implied trees: evidence from the Italian index options market
    by V. Moriggia & S. Muzzioli & C. Torricelli
  • 2005 Implied volatility of foreign exchange options: is it worth tracking?
    by Áron Gereben & Klára Pintér
  • 2005 Default Risk in Corporate Yield Spreads
    by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato
  • 2005 Heterogeneous Risk Attitudes in a Continuous-Time Model
    by Chiaki Hara
  • 2005 Mispricing of S&P 500 Index Options
    by Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis
  • 2005 Option Pricing: Real and Risk-Neutral Distributions
    by Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis
  • 2005 A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options
    by Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M.
  • 2005 A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps
    by Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M.
  • 2005 Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação
    by Walter Novaes & Fernando N. de Oliveira
  • 2005 Duality and Derivative Pricing with Time-Changed Lévy Processes
    by José Fajardo & Ernesto Mordecki
  • 2005 Equivalent Martingale Measures and Lévy Processes
    by José Fajardo
  • 2005 Duality and Derivative Pricing with Lévy Processes
    by José Fajardo & Ernesto Mordecki
  • 2005 Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
    by Imen Bentahar & Bruno Bouchard
  • 2005 US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore
    by Giorgio Valente
  • 2005 Callable Risky Perpetual Debt: Options, Pricing And Bankruptcy Implications
    by Mjøs, Aksel & Persson, Svein-Arne
  • 2005 On finite dimensional realizations for the term structure of futures prices
    by Björk, Tomas & Blix, Magnus & Landen, Camilla
  • 2005 On the Timing Option in a Futures Contract
    by Björk, Tomas & Biagini, Francesca
  • 2005 Quadratic Portfolio Credit Risk models with Shot-noise Effects
    by Gaspar, Raquel M. & Schmidt, Thorsten
  • 2005 Correlation Between Intensity and Recovery in Credit Risk Models
    by Gaspar, Raquel M. & Slinko, Irina
  • 2005 Asset Pricing with Incomplete Information under Stable Shocks
    by Prasad V. Bidarkota & Brice V. Dupoyet & J. Huston McCulloch
  • 2005 Start-up Entry Strategies: Employer vs. Nonemployer firms
    by Michele Moretto & Gianpaolo Rossini
  • 2005 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
    by Didier Cossin & Gero Jung
  • 2005 Are European Corporate Bond and Default Swap Markets Segmented?
    by Didier Cossin & Hongze Lu
  • 2005 Theory and Calibration of Swap Market Models
    by S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet
  • 2005 A Portrait of Hedge Fund Investors: Flows, Performance and Smart Money
    by Baquero, G. & Verbeek, M.J.C.M.
  • 2005 Efficient Rank Reduction of Correlation Matrices
    by Grubisic, I. & Pietersz, R.
  • 2005 A Comparison of Single Factor Markov-Functional and Multi Factor Market Models
    by Pietersz, R. & Pelsser, A.A.J.
  • 2005 Generic Market Models
    by Pietersz, R. & van Regenmortel, M.
  • 2005 Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions
    by Toshiaki Watanabe & Hirokuni Uchiyama
  • 2005 Measuring Financial Stability: Applying the MfRisk Model to the Netherlands
    by Jan Willem van den End & Mostafa Tabbae
  • 2005 The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew
    by John S. Ying & Joel S. Sternberg
  • 2005 The Value of Fighting Irreversible Demise by Softening the Irreversible Cost
    by Magis, P. & Sbuelz, A.
  • 2005 The Impact of Overnight Periods on Option Pricing
    by Boes, M.J. & Drost, F.C. & Werker, B.J.M.
  • 2005 Temporary Stabilization and the Real Option of Waiting when Consumption can be Delayed: an Extreme Value Approach
    by Francisco Venegas-Martínez
  • 2005 Segmentation in the Crude Oil Futures Term Structure
    by Lautier, Delphine
  • 2005 Term structure of crude oil futures prices : a principal component analysis
    by Lautier, Delphine
  • 2005 A Matter of Principal
    by Lautier, Delphine
  • 2005 Term Structure Models of Commodity Prices: A Review
    by Lautier, Delphine
  • 2005 GARCH option pricing under skew
    by Aboura, Sofiane
  • 2005 Pricing CAC 40 Index Options under Asymmetry of Information
    by Aboura, Sofiane
  • 2005 A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations
    by Peter C.B. Phillips & Jun Yu
  • 2005 Modelling the Surrender Conditions in Equity-Linked Life Insurance
    by Anna Rita Bacinello
  • 2005 Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation
    by León, Ángel & Mencía, Javier & Sentana, Enrique
  • 2005 Demand-Based Option Pricing
    by Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M
  • 2005 Insider Trading in Credit Derivatives
    by Acharya, Viral V & Johnson, Tim
  • 2005 A Model of Corporate Liquidity
    by Anderson, Ronald W & Carverhill, Andrew
  • 2005 Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation
    by Ángel León & Javier Mencía & Enrique Sentana
  • 2005 Scope for Credit Risk Diversification
    by Hanson, S. & Pesaran, M.H. & Schuermann, T.
  • 2005 Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten
    by Antje Mahayni & Michael Suchanecki
  • 2005 Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies
    by An Chen
  • 2005 Explaining the level of credit spreads: option-implied jump risk premia in a firm value model
    by Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum
  • 2005 The pricing of unexpected credit losses
    by Jeffery D. Amato & Eli M Remolona
  • 2005 Explaining credit default swap spreads with equity volatility and jump risks of individual firms
    by Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou
  • 2005 Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area
    by Marcello Pericoli
  • 2005 State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
    by Fousseni Chabi-Yo & René Garcia & Eric Renault
  • 2005 Option Valuation As an Expectation in The Complex Domain: The Black-Scholes Case
    by Hortensia Fontanals Albiol & Ramon Lacayo
  • 2005 Valoracion de credit default swaps: Una aplicacion del modelo de Hull-White al mercado espanol
    by Maria Carmen Badia Batlle & Merche Galisteo & M. Teresa Preixens Benedicto
  • 2005 Indexált alaptermék árú opciók
    by Radnai, Márton
  • 2005 Valuation of Standard Options under the Constant Elasticity of Variance Model
    by Richard Lu & Yi-Hwa Hsu
  • 2005 An empirical comparison of the performance of alternative option pricing models
    by Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio
  • 2005 Risk aversion and risk premia in the CDS market
    by Jeffery D Amato
  • 2005 The rise and fall of US dollar interest rate volatility: evidence from swaptions
    by Fabio Fornari
  • 2005 Contractual terms and CDS pricing
    by Franck Packer & Haibin Zhu
  • 2005 CDS index tranches and the pricing of credit risk correlations
    by Jeffery D Amato & Jacob Gyntelberg
  • 2004 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation
    by Hayette Gatfaoui
  • 2004 Do hedging instruments stabilize markets?
    by Florian Wagener & William Brock & Cars Hommes
  • 2004 Asymmetric Jump Processes: Option Pricing Implications
    by Brice Dupoyet
  • 2004 Pricing a Path-dependent American Option by Monte Carlo Simulation
    by Masaaki Kijima & Hajime Fujiwara
  • 2004 Speculative option valuation: A supercomputing approach
    by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano
  • 2004 On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures
    by Chiang & Min-Hsien;Fan
  • 2004 A Bayesian semiparametric approach to pricing the S&P 500 index options
    by Marcin Kacperczyk; Paul Damien; Stephen Walker
  • 2004 Prognoses for a Non-Predictable Discounted Commodity Price Process
    by Wright, Brian D. & Bobenrieth & Eugenio S. A.
  • 2004 Pricing LME Commodity Futures Contracts
    by Richard Heaney
  • 2004 Márgenes con spread intraclase para el mercado mexicano de derivados
    by Díaz-Tinoco, Jaime & Venegas-Martínez, Francisco
  • 2004 Role of Commodity Futures Market in Spot Price Stabilization, Production and Inventory Decisions with Reference to India
    by Basab Dasgupta
  • 2004 Cross currency swap valuation
    by Boenkost, Wolfram & Schmidt, Wolfgang M.
  • 2004 Pure risk premiums under deductibles. A quantitative management in actuarial practice
    by Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron
  • 2004 Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
    by Rafal Weron & Slawomir Wojcik
  • 2004 Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)
    by Bartosz Stawiarski
  • 2004 Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data
    by Daniel Levy & Shantanu Dutta & Mark Bergen
  • 2004 Price Flexibility in Channels of Distribution: Evidence from Scanner Data
    by Shantanu Dutta & Mark Bergen & Daniel Levy
  • 2004 System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets
    by Cornelis A Los
  • 2004 Why VAR Fails: Long Memory and Extreme Events in Financial Markets
    by Cornelis A. Los
  • 2004 A Generalized Earnings-Based Stock Valuation Model
    by Ming Dong & David Hirshleifer
  • 2004 Stock Valuation and Investment Strategies
    by Zhiwu Chen & Ming Dong
  • 2004 When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!
    by Cornelis A. Los
  • 2004 The Effects of Option Expiration on NSE volume and prices
    by Akash Gupta & Samik Metia & Prashant Trivedi
  • 2004 Accounting for Employee Stock Options: An Economics Perspective
    by Junning Cai
  • 2004 Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash
    by CORNELIS A. LOS & ROSSITSA M. YALAMOVA
  • 2004 Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries
    by CORNELIS A. LOS
  • 2004 The Changing Concept of Financial Risk
    by CORNELIS A. LOS
  • 2004 What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities
    by Massoud Heidari & Liuren Wu
  • 2004 Static Hedging of Standard Options
    by Peter Carr & Liuren Wu
  • 2004 Variance Risk Premia
    by Peter Carr & Liuren Wu
  • 2004 Taking Positive Interest Rates Seriously
    by Enlin Pan & Liuren Wu
  • 2004 Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
    by Ram Bhar & Carl Chiarella & Thuy-Duong To
  • 2004 Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes
    by Alon Raviv
  • 2004 Swaptions: 1 price, 10 deltas, and ... 6 1/2 gammas
    by Marc Henrard
  • 2004 Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)
    by Farshid Jamshidian
  • 2004 A survey on risk-return analysis
    by Don U.A. Galagedera
  • 2004 GARCH Option Pricing Under Skew
    by Sofiane ABOURA
  • 2004 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation
    by Gatfaoui Hayette
  • 2004 How Does Systematic Risk Impact Stocks? A Study On the French Financial Market
    by Gatfaoui Hayette
  • 2004 Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
    by Gatfaoui Hayette & Chauveau Thierry
  • 2004 Overnight Indexed Swaps and Floored Compounded Instrument in HJM One-Factor Model
    by Marc Henrard
  • 2004 A Note on the Bias of using Futures Rates as a Proxy for the Instantaneous Forward Rate
    by Thuy-Duong To
  • 2004 Capital Asset Pricing for Markets with Intensity Based Jumps
    by Eckhard Platen
  • 2004 An Intraday Empirical Analysis of Electricity Price Behaviour
    by Eckhard Platen & Jason West & Wolfgang Breymann
  • 2004 A Benchmark Approach to Finance
    by Eckhard Platen
  • 2004 A Markovian Defaultable Term Structure Model with State Dependent Volatilities
    by Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios
  • 2004 Two-Factor Model for Low Interest Rate Regimes
    by Shane Miller & Eckhard Platen
  • 2004 Diversified Portfolios with Jumps in a Benchmark Framework
    by Eckhard Platen
  • 2004 Understanding the Implied Volatility Surface for Options on a Diversified Index
    by David Heath & Eckhard Platen
  • 2004 Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
    by Wolfgang Breymann & Leah Kelly & Eckhard Platen
  • 2004 Local Volatility Function Models under a Benchmark Approach
    by David Heath & Eckhard Platen
  • 2004 Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility
    by Thierry Chauveau & Hayette Gatfaoui
  • 2004 A generalization of Hull and White formula and applications to option pricing approximation
    by Elisa Alòs
  • 2004 Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts
    by Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P.
  • 2004 Approximating equity volatility
    by Ahmed Loulit
  • 2004 Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management
    by Dietmar Leisen
  • 2004 The Manufacturing Flexibility to Switch Products: Valuation and Optimal Strategy
    by Sorin Tuluca & Piotr Stalinski
  • 2004 The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion
    by J. Huston McCulloch
  • 2004 South Sea Company Subscription Shares and Warrant Values in 1720
    by Gary S. Shea
  • 2004 Rational Pricing of Options during the South Sea Bubble: Valuing the 22 August 1720 Options
    by Gary S. Shea
  • 2004 Capital market equilibrium with moral hazard and flexible technology
    by John Quiggin & Robert G. Chambers
  • 2004 Interview with Nobel Prize Laureate Robert C. Merton
    by Merton, Robert C.
  • 2004 Stochastic Local Volatility
    by Carol Alexander & Leonardo Nogueira
  • 2004 The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH
    by Carol Alexandra & Emese Lazar
  • 2004 An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds
    by Ali Bora Yigibasioglu & Carol Alexandra
  • 2004 Efeito da flexibilidade na decisão de investimento: Uma aplicação à exploração do cobre
    by Gomes Santana Félix, Elisabete & Esperança, José Paulo
  • 2004 Methodological problems in solvency assessment of an insurance company
    by Cocozza, R & Di Lorenzo, E & Sibillo, M
  • 2004 Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach
    by Fleten, Stein-Erik & Lindset, Snorre
  • 2004 Option Pricing Under the Variance Gamma Process
    by Fiorani, Filo
  • 2004 Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade
    by Ulibarri, Carlos A.
  • 2004 Private Information: Similarity as Compatibility
    by João Correia-da-Silva & Carlos Hervés-Beloso
  • 2004 Various Features of the Chooser Flexible Cap
    by Masamitsu Ohnishi & Yasuhiro Tamba
  • 2004 Pricing of a Chooser Flexible Cap and its Calibration
    by Daisuke Ito & Masamitsu Ohnishi & Yasuhiro TAMBA
  • 2004 The Cross-Section of Volatility and Expected Returns
    by Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang
  • 2004 Facts and Fantasies about Commodity Futures
    by Gary Gorton & K. Geert Rouwenhorst
  • 2004 Should We Fear Derivatives?
    by Rene M. Stulz
  • 2004 Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
    by Don U.A. Galagedera & Robert Faff
  • 2004 The internal efficiency of Index Option Markets:Tests on the Italian Market
    by Costanza Torricelli & Marianna Brunetti
  • 2004 Why is the index smile so steep?
    by Christian Schlag & Nicole Branger
  • 2004 The Timing of Bets and the Favorite-Longshot Bias
    by Marco Ottaviani & Peter Norman Sørensen
  • 2004 Autoregressive Conditional Volatility, Skewness And Kurtosis
    by Ángel León & Gonzalo Rubio & Gregorio Serna
  • 2004 Forward Contracting and Collusion in Oligopoly
    by Juan-Pablo Montero
  • 2004 The Consumption-Based Determinants of the Term Structure of Discount Rates
    by Gollier, Christian
  • 2004 Financial fragility under implicit insurance scheme: Evidence from the collapse of Thai financial institutions
    by Anuchitworawong, Chaiyasit
  • 2004 Deposit Insurance, Corporate Governance and Discretionary Behavior: Evidence from Thai Financial Institutions
    by Anuchitworawong, Chaiyasit
  • 2004 Towards a General Theory of Good Deal Bounds
    by Björk, Tomas & Slinko, Irina
  • 2004 On Finite Dimensional Realizations of Forward Price Term Structure Models
    by Gaspar, Raquel M.
  • 2004 General Quadratic Term Structures of Bond, Futures and Forward Prices
    by Gaspar, Raquel M.
  • 2004 On the Pricing of Step-Up Bonds in the European Telecom Sector
    by Lando, David & Mortensen, Allan
  • 2004 Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator
    by Bartels, Patrick & Breitner, Michael H.
  • 2004 Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors
    by Nicole Branger & Christian Schlag
  • 2004 When Are Static Superhedging Strategies Optimal?
    by Nicole Branger & Angelika Esser & Christian Schlag
  • 2004 The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia
    by Prasad V. Bidarkota & Brice V. Dupoyet
  • 2004 The Dynamics of Mergers and Acquisitions
    by Erwan Morellec & Alexei Zdhanov
  • 2004 Investment under Uncertainty and Incomplete Markets
    by Julien Hugonnier & Erwan Morellec
  • 2004 The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market
    by Alessandro BEBER & Michael W. BRANDT
  • 2004 Fund liquidation, self-selection and look-ahead bias in the hedge fund industry
    by ter Horst, J.R. & Verbeek, M.J.C.M.
  • 2004 An Improved Estimator For Black-Scholes-Merton Implied Volatility
    by Hallerbach, W.G.P.M.
  • 2004 Rank reduction of correlation matrices by majorization
    by Pietersz, R. & Groenen, P.J.F.
  • 2004 Valoración de la garantía de los planes de pensiones en España
    by Chamorro Gómez, José Manuel
  • 2004 Autorregresive conditional volatility, skewness and kurtosis
    by León, Angel & Serna, Gregorio & Rubio Irigoyen, Gonzalo
  • 2004 The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty
    by J. Huston McCulloch
  • 2004 Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
    by Jing-zhi Huang & Liuren Wu
  • 2004 Evaluating Incentive Options
    by Wei Xiong & Ronnie Sircar
  • 2004 Pricing Derivatives on Two Lé}vy-driven Stocks
    by Ernesto Mordecki & José Fajardo
  • 2004 Dynamics of Interest Rate Curve by Functional Auto-regression
    by Alexei Onatski & Slava Kargin
  • 2004 Structurally Sound Dynamic Index Futures Hedging
    by Patrick McGlenchy & Paul Kofman
  • 2004 Understanding Electricity Price Volatility within and across Markets
    by Goto, Mika & Karolyi, G. Andrew
  • 2004 Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten
    by Fernandez, Pablo
  • 2004 An Anatomy of Futures Returns: Risk Premiums and Trading Strategies
    by Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman
  • 2004 Simple and extended Kalman filters : an application to term structures of commodity prices
    by Galli, Alain & Lautier, Delphine
  • 2004 The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach
    by Deville, Laurent & Riva, Fabrice
  • 2004 La volatilité des prix des matières premières
    by Lautier, Delphine & Simon, Yves
  • 2004 Asset Prices and International Spillovers: An Empirical Investigation
    by Sarno, Lucio & Valente, Giorgio
  • 2004 Confidence Building on Euro Conversion: Theory and Evidence from Currency Options
    by Driessen, Joost & Perotti, Enrico C
  • 2004 Valuation Of A Biotech Company: A Real Options Approach
    by Angel Leon & Diego Piñeiro
  • 2004 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules
    by Hara, C. & Christoph Kuzmics
  • 2004 On an Alternative Approach to Pricing General Barrier Options
    by Michael Suchanecki
  • 2004 Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets
    by Alejandro Díaz de León & Martha Elena Casanova
  • 2004 Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market
    by Paolo Guasoni
  • 2004 Estimating expectations of shocks using option prices
    by Antonio Di Cesare
  • 2004 Modelling the Evolution of Credit Spreads in the United States
    by Stuart M. Turnbull & Jun Yang
  • 2004 Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital
    by Joseph Atta-Mensah
  • 2004 On the pricing of options under limited information
    by DE SCHEPPER, Ann & HEIJNEN, Bart
  • 2004 The Optimality of Multi-stage Venture Capital Financing: An Option-Theoretic Approach
    by Robert Dubil
  • 2004 Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach
    by Augusto Castillo
  • 2004 A Note on Sector, Rating, and Maturity Effects on Risk Premia
    by Konstantinos Drakos
  • 2004 Information Flow between Price Change and Trading Volume in Gold Futures Contracts
    by Ramaprasad Bhar & Shigeyuki Hamori
  • 2004 Defection of Traditional Standard Deviation Scaling of Capital Asset Returns
    by Vladimír Gazda & Karel Koøený & Tomáš Výrost
  • 2004 Replication Methods in the Pricing and Hedging of Barrier Options
    by Tichý Tomáš
  • 2004 An Interpretation of Czech FX Options
    by Pavel Bouc & Martin Cincibuch
  • 2004 Hedging Strategies and Financial Risks
    by Zdenìk Zmeškal
  • 2004 The implicit models of the option valuation
    by Gerardo Arregui Ayastuy
  • 2004 Decision for the Optimal Location -- Waiting Timing Relationship in A Real Options Model
    by Chin-Tsai Lin & Cheng-Ru Wu
  • 2004 Construction d'un portefeuille sous-jacent virtuel
    by Sophie Pardo & Robert Kast & André Lapied
  • 2003 Diversified Portfolios in a Benchmark Framework
    by Eckhard Platen
  • 2003 A Stochastic Seasonal Model for Commodity Option Pricing
    by Monica Barbu & Kevin Burrage
  • 2003 An Implementation of the Shirakawa Jump-Diffusion Term Structure Model
    by Christina Nikitopoulos-Sklibosios & Carl Chiarella
  • 2003 The Evolution of Expectations Towards Expiration
    by Roy van der Weide & Remco Peters
  • 2003 A Numerical Solution to American Style Options on Commodities
    by Kevin Burrage & Jamie Alcock & Monica Barbu
  • 2003 WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options
    by Oliver Kubertin & Michael H. Breitner
  • 2003 Les stratégies de placements d’ordres : le cas des ordres à quantité cachée
    by Raposo, Juan
  • 2003 Financial Markets in Continuous Time
    by Jeanblanc, Monique & Dana, Rose-Anne
  • 2003 How can management deliver value for shareholders?
    by Chen, Andrew & Conover, James & Kensinger, John
  • 2003 Notes on convexity and quanto adjustments for interest rates and related options
    by Boenkost, Wolfram & Schmidt, Wolfgang M.
  • 2003 Over-allotment options in IPOs on Germany's Neuer Markt: An empirical investigation
    by Franzke, Stefanie A. & Schlag, Christian
  • 2003 The Forecasting Performance of German Stock Option Densities
    by Keller, Joachim & Glatzer, Ernst & Craig, Ben R. & Scheicher, Martin
  • 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
    by Florian Neagu
  • 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
    by Florian Neagu
  • 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
    by Florian Neagu
  • 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
    by Florian Neagu
  • 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
    by Florian Neagu
  • 2003 American Option Pricing with Transaction Costs
    by Valeri Zakamouline
  • 2003 European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs
    by Valeri Zakamouline
  • 2003 Alternative Market Structures for Derivatives
    by Sohnke M. Bartram & Frank R. Fehle
  • 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case
    by Florian Neagu
  • 2003 Consistent Estimation of Pricing Kernels from Noisy Price Data
    by Vladislav Kargin
  • 2003 Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model
    by Marc Henrard
  • 2003 A semi-analytical approach to Canary swaptions in HJM one-factor model
    by Henrard Marc
  • 2003 Lattice Option Pricing By Multidimensional Interpolation
    by Vladislav Kargin
  • 2003 Risk Disaggregation And Credit Risk Valuation In The Merton Like Way
    by Hayette Gatfaoui
  • 2003 Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax
    by Sohnke M. Bartram & Frank R. Fehle
  • 2003 Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options
    by Allen Abrahamson
  • 2003 A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion
    by Allen Abrahamson
  • 2003 A Simple Model for Credit Migration and Spread Curves
    by Li Chen & Damir Filipovic
  • 2003 Option value and optimal rotation policies for aquaculture exploitations
    by Arantza Murillas Maza
  • 2003 The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets
    by R. M. Eldridge & Maurice Peat & Max Stevenson
  • 2003 An Alternative Interest Rate Term Structure Model
    by Eckhard Platen
  • 2003 A Benchmark Framework for Risk Management
    by Eckhard Platen
  • 2003 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models
    by Eckhard Platen
  • 2003 Fair Pricing of Weather Derivatives
    by Eckhard Platen & Jason West
  • 2003 Modeling the Volatility and Expected Value of a Diversified World Index
    by Eckhard Platen
  • 2003 Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling
    by David Heath & Eckhard Platen
  • 2003 On the valuation and incentive effects of executive cash bonus contracts
    by Lionel Martellini & Branko Urosevic
  • 2003 Australian Asian options
    by Manuel Moreno & Javier F. Navas
  • 2003 A general decomposition formula for derivative prices in stochastic volatility models
    by Elisa Alòs
  • 2003 Reexamining the maturity effect using extensive futures data
    by Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P.
  • 2003 A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge
    by Nick Webber & Claudia Ribeiro
  • 2003 Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
    by Nick Webber & Claudia Ribeiro
  • 2003 The estimation of implied volatility from the Black-Scholes model: some new formulas and their applications
    by Steven Li
  • 2003 Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary
    by Elias Tzavalis & Shijun Wang
  • 2003 A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints
    by Frank Milne & Edwin Neave
  • 2003 Opções reais: tipologias e sua avaliação
    by Gomes Santana Félix, Elisabete
  • 2003 Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita"
    by Giandomenico, Rossano
  • 2003 An Equilibrium Analysis of Real Estate
    by Steven R. Grenadier
  • 2003 Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets
    by Eli Ofek & Matthew Richardson & Robert F. Whitelaw
  • 2003 Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms
    by David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin
  • 2003 Implicit Bayesian Inference Using Option Prices
    by Gael M. Martin & Catherine S. Forbes & Vance L. Martin
  • 2003 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter
    by Catherine S. Forbes & Gael M. Martin & Jill Wright
  • 2003 Call and put implied volatilities and the derivation of option implied trees
    by V. Moriggia & S. Muzzioli & C. Torricelli
  • 2003 The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market
    by Costanza Torricelli & Marianna Brunetti
  • 2003 Endogenous Value and Financial Fragility
    by Gobert, Karine & Gonz�lez, Patrick & Lai, Alexandra & Poitevin, Michel
  • 2003 Endogenous Value and Financial Fragility
    by Gobert, Karine & Gonz�lez, Patrick & Lai, Alexandra & Poitevin, Michel
  • 2003 A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options
    by Nagaev, Sergei A.
  • 2003 Valuing Corporate Liabilities
    by Ericsson, Jan & Reneby, Joel
  • 2003 Long-Term Supply Contracts and Collusion in the Electricity Markets
    by Le Coq, Chloé
  • 2003 On the Geometry of Interest Rate Models
    by Björk, Tomas
  • 2003 Does the Black-Scholes formula work for electricity markets? A nonparametric approach
    by Hjalmarsson, Erik
  • 2003 The Value and Incentives of Option-based Compensation in Danish Listed Companies
    by Bechmann, Ken L. & Jørgensen, Peter Løchte
  • 2003 Competition and Irreversible Investments under Uncertainty
    by Michele Moretto
  • 2003 Quantitative Selection of Long-Short Hedge Funds
    by Kaifeng CHEN & Alexander PASSOW
  • 2003 Sovereign Debt Contract and Optimal Consumption-Investment Strategies
    by Andriy DEMCHUK,
  • 2003 Fat Tails in Power Prices
    by Huisman, R. & Huurman, C.
  • 2003 Risk managing bermudan swaptions in the libor BGM model
    by Pietersz, R. & Pelsser, A.A.J.
  • 2003 Pricing default swaps: empirical evidence
    by Houweling, P. & Vorst, A.C.F.
  • 2003 An empirical comparison of the performance of alternative option pricing models
    by Rubio Irigoyen, Gonzalo & León, Angel & Ferreira García, María Eva & Gago, Mónica
  • 2003 Smiling under stochastic volatility
    by Rubio Irigoyen, Gonzalo & León, Angel
  • 2003 A Merton Model Approach to Assessing the Default Risk of UK Public Companies
    by Tudela, Merxe & Garry Young
  • 2003 The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison
    by To, Thuy Duong & Carl Chiarella
  • 2003 Risk Management: An Interdisciplinary Framework
    by Tapiero, Charles
  • 2003 Value at Risk and Inventory Control
    by Tapiero, Charles
  • 2003 A Class of Marked Point Processes for Modelling Electricity Prices
    by Geman, Hélyette & Roncoroni, Andrea
  • 2003 Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
    by Bas Peeters & Cees L. Dert & Andr� Lucas
  • 2003 Analytic American Option Pricing and Applications
    by Sbuelz, A.
  • 2003 Structural RFV: Recovery Form and Defaultable Debt Analysis
    by Guha, R. & Sbuelz, A.
  • 2003 Multivariate Option Pricing Using Dynamic Copula Models
    by Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M.
  • 2003 Les stratégies de placements d’ordres : le cas des ordres à quantité cachée
    by Raposo, Juan
  • 2003 Jackknifing Bond Option Prices
    by Peter C.B. Phillips & Jun Yu
  • 2003 Late Informed Betting and the Favourite-Longshot Bias
    by Ottaviani, Marco & Sorensen, Peter Norman
  • 2003 Heterogeneity of Investors and Asset Pricing in a Risk-Value World
    by Franke, Günter & Weber, Martin
  • 2003 Evaluation Of A Taxi Sector Reform: A Real Options Approach
    by Gerard Llobet & Meritxell Albertí & Ángel León
  • 2003 The Importance of the Loss Function in Option Valuation
    by Peter Christoffersen & Kris Jacobs
  • 2003 Order Flows, Delta Hedging and Exchange Rate Dynamics
    by Bronka Rzepkowski
  • 2003 A real options approach to tender offers and acquisitions processes
    by José Dapena & Santiago Fidalgo
  • 2003 Non-Institutional Market Making Behavior: The Dalian Futures Exchange
    by Oscar Jorda & Holly Liu & Jeffrey Williams
  • 2003 The Risk Management of Minimum Return Guarantees
    by Antje Mahayni & Erik Schlögl
  • 2003 The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates
    by Thanasis N. Christodoulopoulos & Ioulia Grigoratou
  • 2003 Collateral and Credit Supply
    by Joseph Atta-Mensah
  • 2003 Valuation of Defaultable Bonds and Debt Restructuring
    by Ariadna Dumitrescu
  • 2003 Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data
    by Maria Helena Lopes Moreira da Veiga
  • 2003 Forecasting Volatility Using A Continuous Time Model
    by Maria Helena Lopes Moreira da Veiga
  • 2003 Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
    by Per Hörfelt
  • 2003 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
    by Ji-Wook Jang & Angelos Dassios
  • 2003 Random step functions model for interest rates
    by Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov
  • 2003 Numerical solution of jump-diffusion LIBOR market models
    by Nicolas Merener & Paul Glasserman
  • 2003 The Pricing Of Options On Credit-Sensitive Bonds
    by Sandra Peterson & Richard C. Stapleton
  • 2003 A volatilitás előrejelzése és a visszaszámított modellek
    by Zsembery, Levente
  • 2003 Financial Innovation in Multi-Period Economies
    by Enrique Kawamura
  • 2003 Securities Transaction Taxes for U.S. Financial Markets
    by Robert Pollin & Dean Baker & Marc Schaberg
  • 2003 Small dimension PDE for discrete Asian options
    by Benhamou, Eric & Duguet, Alexandre
  • 2003 Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach
    by Chenghu Ma
  • 2003 Market Risk and Volatility in the Brazilian Stock Market
    by Joe Akira Yoshino
  • 2003 Lead lag relatîonships between short term options and the french stock index cac 40: the impact of time measurement
    by Alexis Cellier
  • 2002 Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility
    by Carl Chiarella & Silvana Musti
  • 2002 Daily Behavior Of Futures Returns: Evidence Form A New Computational Method
    by Roger Koppl & Sorin Tuluca
  • 2002 Merton-style option pricing under regime switching
    by John Driffill & Turalay Kenc & Martin Sola
  • 2002 Heterogeneous Preferences and the Representative Investor
    by Frank Niehaus
  • 2002 Price Adjustment Time and the Black-Scholes Option Pricing Model: Discussion and New Results
    by Emmanuel Haven
  • 2002 Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates
    by Fausto Gozzi & Simona Sanfelici
  • 2002 Finite element method for pricing European contingent claims on multiple assets. Part I: semigroup approach and regularity estimates
    by Fausto Gozzi & Simona Sanfelici
  • 2002 Structural Change Testing in Stochastic Volatility Models
    by J. del Hoyo & J.-Guillermo Llorente
  • 2002 Utility Maximization on the Real Line under Proportional Transaction Costs
    by Bouchard, Bruno
  • 2002 Cobertura de tasas de interés con futuros del mercado mexicano de derivados. Modelo estocástico de duración y convexidad
    by Venegas-Martinez, Francisco & Bernardo González-Aréchiga
  • 2002 Credit risk modeling and valuation: An introduction
    by Giesecke, Kay
  • 2002 An exponential model for dependent defaults
    by Giesecke, Kay
  • 2002 Compensator-based simulation of correlated defaults
    by Giesecke, Kay
  • 2002 Efficient hedging for a complete jump-diffusion model
    by Kirch, Michael & Krutchenko, R. N. & Melnikov, Aleksandr V.
  • 2002 Solving the Esscher puzzle: the NEF-GHS option pricing model
    by Fischer, Matthias J.
  • 2002 The Pricing puzzle: The default term structure of collateralised loan obligations
    by Jobst, Andreas A.
  • 2002 On the Joint Pricing of Stocks and Bonds: Theory and Evidence
    by Harry Mamaysky
  • 2002 Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach
    by Rafal Weron
  • 2002 On annuities under random rates of interest
    by Krzysztof Burnecki & Agnieszka Marciniuk & Aleksander Weron
  • 2002 Option pricing with Levy Process
    by Eric Benhamou
  • 2002 A Martingale Result for Convexity Adjustment in the Black Pricing Model
    by Eric Benhamou
  • 2002 Smart Monte Carlo: Various tricks using Malliavin calculus
    by Eric Benhamou
  • 2002 A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
    by Eric Benhamou
  • 2002 Information, Alternative Markets, and Security Price Processes: A Survey of Literature
    by Rafiqul Bhuyan
  • 2002 What Type of Process Underlies Options? A Simple Robust Test
    by Peter Carr & Liuren Wu
  • 2002 Markov Chain Approximations For Term Structure Models
    by David Backus & Liuren Wu & Stanley Zin
  • 2002 Asset Pricing Under The Quadratic Class
    by Markus Leippold & Liuren Wu
  • 2002 Design and Estimation of Quadratic Term Structure Models
    by Markus Leippold & Liuren Wu
  • 2002 The Finite Moment Log Stable Process and Option Pricing
    by Peter Carr & Liuren Wu
  • 2002 Time-Changed Levy Processes and Option Pricing
    by Peter Carr & Liuren Wu
  • 2002 Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives
    by Massoud Heidari & Liuren Wu
  • 2002 Accouting for Biases in Black-Scholes
    by David Backus & Silverio Foresi & Liuren Wu
  • 2002 Analytical Aproach to Value Options with State Variables of a Levy System
    by Nguyen Thanh Long
  • 2002 All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form
    by Allen Abrahamson
  • 2002 A note on a generalized Black-Scholes formula
    by Bakhodir A Ergashev
  • 2002 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
    by Ali Bora Yigitbasioglu
  • 2002 A Benchmark Framework for Integrated Risk Management
    by Eckhard Platen
  • 2002 Benchmark Model with Intensity Based Jumps
    by Eckhard Platen
  • 2002 A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
    by Ram Bhar & Carl Chiarella & Thuy Duong To
  • 2002 Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model
    by David Heath & Eckhard Platen
  • 2002 A Benchmark Approach to Filtering in Finance
    by Eckhard Platen & Wolfgang Runggaldier
  • 2002 A Discrete Time Benchmark Approach for Finance and Insurance
    by Hans Buhlmann & Eckhard Platen
  • 2002 Variance reduction methods for simulation of densities on Wiener space
    by Arturo Kohatsu & Roger Pettersson
  • 2002 Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market
    by Alfonso Novales & J.A. Lafuente
  • 2002 When Did The Smart Money in Enron Lose Its' Smirk?
    by Bruce Mizrach
  • 2002 An Empirical Study of Credit Default Swaps
    by Frank Skinner & Antonio Diaz
  • 2002 Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps
    by Kyriakos Chourdakis
  • 2002 Fundamental Properties of Bond Prices in Models of the Short-Term Rate
    by Antonio Mele
  • 2002 Incomplete Diversification and Asset Pricing
    by Robert Elliott & Dilip Madan & Frank Milne
  • 2002 Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence
    by Ardia, David
  • 2002 Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options
    by Aron Gereben
  • 2002 Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs
    by George M. Constantinides & Stylianos Perrakis
  • 2002 Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions
    by Kent Smetters
  • 2002 Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
    by Yacine Aït-Sahalia & Robert Kimmel
  • 2002 Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns
    by G.C. Lim & G.M. Martin & V.L. Martin
  • 2002 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices
    by C.S. Forbes & G.M. Martin & J. Wright
  • 2002 Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence
    by Robert E.J. Hibbard & Rob Brown & Keith R. McLaren
  • 2002 Parametric Pricing of Higher Order Moments in S&P500 Options
    by G.C. Lim & G.M. Martin & V.L. Martin
  • 2002 Finite dimensional Markovian realizations for stochastic volatility forward rate models
    by Björk, Tomas & Landén, Camilla & Svensson, Lars
  • 2002 A Note on the Pricing of Real Estate Index Linked Swaps
    by Björk, Tomas & Clapham, Eric
  • 2002 On the Use of Numeraires in Option pricing
    by Benninga, Simon & Björk, Tomas & Wiener, Zvi
  • 2002 Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans
    by Richter, Martin & Sørensen, Carsten
  • 2002 On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model
    by Jensen, Bjarne Astrup
  • 2002 Banks’ option to lend, interest rate sensitivity, and credit availability
    by Hasan , Iftekhar & Sarkar, Sudipto
  • 2002 Volatility Estimation via Hidden Markov Models
    by Alessandro Rossi & Giampiero M. Gallo
  • 2002 Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?
    by Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang
  • 2002 Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures
    by Roger WALDER
  • 2002 Option Pricing with Discrete Rebalancing
    by Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET
  • 2002 Why does Implied Risk Aversion Smile?
    by Alexandre Ziegler
  • 2002 Market Dynamics Around Public Information Arrivals
    by Angelo Ranaldo
  • 2002 Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling
    by Michael WESTPHALEN
  • 2002 Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance
    by Baquero, G. & ter Horst, J.R. & Verbeek, M.J.C.M.
  • 2002 An Empirical Comparison of Default Swap Pricing Models
    by Houweling, P. & Vorst, A.C.F.
  • 2002 An Empirical Comparison of Default Swap Pricing Models
    by Houweling, P. & Vorst, A.C.F.
  • 2002 Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
    by Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea
  • 2002 Loan securitisation: default term structure and asset pricing based on loss prioritisation
    by Andreas A. Jobst
  • 2002 Skewness and kurtosis implied by option prices: a second comment
    by Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea
  • 2002 Alternative Models for Stock Price Dynamic
    by Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George
  • 2002 Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
    by Antoon Pelsser
  • 2002 Behavioral Preferences for Individual Securities: The Case for Call Warrants and Call Options
    by Horst, J.R. ter & Veld, C.H.
  • 2002 The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters
    by Lautier, Delphine
  • 2002 Trois modèles de structure par terme des prix du pétrole : une comparaison
    by Lautier, Delphine
  • 2002 L’exposition au risque de change et les déterminants de la couverture : le cas
    by Bellalah, Mondher & Mefteh, Salma
  • 2002 On Real Options and Information Costs
    by Bellalah, Mondher & El Farissi, Inass
  • 2002 Annuity Risk: Volatility and Inflation Exposure in Payments from Immediate Life Annuities
    by Laura Ballotta & Steven Haberman
  • 2002 When Does Strategic Debt Service Matter?
    by Acharya, Viral V & Huang, Jing-Zhi & Subrahmanyam, Marti G. & Sundaram, Rangarajan K
  • 2002 Pricing Credit Derivatives with Rating Transitions
    by Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K
  • 2002 Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy
    by Acharya, Viral V & Carpenter, Jennifer
  • 2002 Analytic Evaluation of Volatility Forecasts
    by Torben G. Andersen & Tim Bollerslev & Nour Meddahi
  • 2002 Alternative Models for Stock Price Dynamics
    by Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen
  • 2002 On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options
    by Darsinos, T. & Satchell, S.E.
  • 2002 The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options
    by Darsinos, T. & Satchell, S.E.
  • 2002 Maximal Arbitrage
    by Klaus Schürger
  • 2002 Extended Libor Market Models with Affine and Quadratic Volatility
    by Christian Zühlsdorff
  • 2002 The Pricing of Derivatives on Assets with Quadratic Volatility
    by Christian Zühlsdorff
  • 2002 How to Avoid a Hedging Bias
    by Antje Dudenhausen
  • 2002 On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
    by Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar
  • 2002 An Examination of the Effects of Parameter Misspecification
    by Antje Dudenhausen & Lutz Schlögl
  • 2002 Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
    by Antje Dudenhausen
  • 2002 The size of the equity premium
    by Fabio Fornari
  • 2002 Intraday return and volatility relationships between the Ibex 35 spot and futures markets
    by Juan A. Lafuente
  • 2002 Utility maximization on the real line under proportional transaction costs
    by Bruno Bouchard
  • 2002 An analysis of a least squares regression method for American option pricing
    by Philip Protter & Emmanuelle Clément & Damien Lamberton
  • 2002 The cumulant process and Esscher's change of measure
    by Albert N. Shiryaev & Jan Kallsen
  • 2002 A model of financial market with several interacting assets. Complete market case
    by Victoria Steblovskaya & Sergio Albeverio
  • 2002 No-arbitrage criteria for financial markets with efficient friction
    by (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov
  • 2002 Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
    by Klaus Sandmann & J. Aase Nielsen
  • 2002 Conditional Gaussian models of the term structure of interest rates
    by Simon H. Babbs
  • 2002 On the construction of finite dimensional realizations for nonlinear forward rate models
    by Camilla Landén & Tomas Björk
  • 2002 A multicurrency extension of the lognormal interest rate Market Models
    by Erik Schlögl
  • 2002 Valuation of exotic options under shortselling constraints
    by Uwe Wystup & Uwe Schmock & Steven E. Shreve
  • 2002 Risk minimization under transaction costs
    by Paolo Guasoni
  • 2002 Stochastic volatility, jumps and hidden time changes
    by Marc Yor & Dilip B. Madan & Hélyette Geman
  • 2002 Derivative pricing based on local utility maximization
    by Jan Kallsen
  • 2002 Valuation Of Convertible Bonds With Sequential Conversion
    by Wolfgang Bühler & Christian Koziol
  • 2002 Valuation Of Defaultable Claims – A Survey
    by Marliese Uhrig-Homburg
  • 2002 Árazási hiba a határidős indexpiacokon
    by Radnai, Márton
  • 2002 A pénzügyi eszközök árazásának alaptétele diszkrét idejű modellekben
    by Medvegyev, Péter
  • 2002 Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization
    by Yamai, Yasuhiro & Yoshiba, Toshinao
  • 2001 A Minimal Financial Market Model
    by Eckhard Platen
  • 2001 Digital Security Tokens and Their Derivatives
    by Kanta Matsuura
  • 2001 Very High Order Lattice Methods for One Factor Models
    by Jonathan Alford and Nick Webber
  • 2001 Pricing Barrier Bond Options with One-factor Interest Rate Models
    by Grace C.H. Kuan and Nick Webber
  • 2001 A Partial Equilibrium Model of Option Markets
    by Dietmar P.J. Leisen and Kenneth L. Judd
  • 2001 Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model
    by George J. Jiang and Pieter J. van der Sluis
  • 2001 Non Linear Error Correction in Spot and Forward Exchange Rates
    by David McMillan & Angela J Black
  • 2001 Comparison of numerical methods for the aproximation of option price
    by S. Sanfelici
  • 2001 Stock Based Compensation: Firm-specific risk, Efficiency and Incentives
    by Vicky Henderson
  • 2001 A Neural Network Versus Black-Scholes: A Comparison of Pricing and Hedging Performances
    by Amilon, Henrik
  • 2001 Environmental Variables and Real Estate Prices
    by Din, A. & Hoesli, M. & Bender, A.
  • 2001 Décisions d’investissement et de démantèlement sous incertitude : une application au secteur électrique
    by Chaton, Corinne
  • 2001 A Fuzzy expert system for solving ReaL-Option decision processes
    by Magni, C. A. & Mastroleo G. & Facchinetti, G.
  • 2001 A Model For Pricing An Option With A Fuzzy Payoff
    by Muzzioli, Silvia & Torricelli, Costanza
  • 2001 Default compensator, incomplete information, and the term structure of credit spreads
    by Giesecke, Kay
  • 2001 Correlated default with incomplete information
    by Giesecke, Kay
  • 2001 A benchmark model for financial markets
    by Platen, Eckhard
  • 2001 Extracting implicit density functions from short term interest rate options
    by Nielsen, Hannah
  • 2001 The dynamics of implied volatilities: A common principal components approach
    by Fengler, Matthias R. & Härdle, Wolfgang K. & Villa, Christophe
  • 2001 Initial offerings of options
    by Müller, Sigrid M.
  • 2001 An Empirical Comparison of Default Swap Pricing Models
    by Patrick Houweling & Ton Vorst
  • 2001 Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm
    by Junwu Gan
  • 2001 Pricing the Risk of Recovery in Default with APR Violation
    by Haluk Unal & Dilip Madan & Levent Güntay
  • 2001 A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes
    by Alan L. Lewis
  • 2001 Arbitrage in Continuous Complete Markets
    by Eckhard Platen
  • 2001 Migration of Price Discovery With Constrained Futures Markets
    by Anthony D. Hall & Paul Kofman & Steve Manaster
  • 2001 Benchmark Pricing of Credit Derivatives Under a Standard Market Model
    by Mark Craddock & Eckhard Platen
  • 2001 A Benchmark Model for Financial Markets
    by Eckhard Platen
  • 2001 On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
    by Manuel Moreno & Javier R. Navas
  • 2001 Fast Fourier Transform for discrete Asian Options
    by E. Benhamou
  • 2001 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk
    by Ali Bora Yigitbasioglu
  • 2001 Credit Risk Diversification
    by Simonne Varotto
  • 2001 Modelling Retail Deposit Spreads in the UK
    by Frank Skinner & Benton E. Gup & Michael Ioannides & Doowoo Nam
  • 2001 Estimating Corporate Yield Curves
    by Antionio Diaz & Frank Skinner
  • 2001 On modelling credit risk using Arbitrage Free Models
    by Frank Skinner & Antonio Diaz
  • 2001 Arbitrage and Optimal Portfolio Choice with Financial Constraints
    by Helmut Elsinger & Martin Summer
  • 2001 Model Uncertainty and Liquidity
    by Bryan R. Routledge & Stanley E. Zin
  • 2001 Trading Inefficiencies in California's Electricity Markets
    by Severin Borenstein & James Bushnell & Christopher R. Knittel & Catherine Wolfram
  • 2001 The Market for Crash Risk
    by David S. Bates
  • 2001 The Pricing of Event Risks with Parameter Uncertainty
    by Kenneth A. Froot & Steven E. Posner
  • 2001 Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices
    by Anderson, H.M. & Vahid, F.
  • 2001 An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect
    by Olekalns, N.
  • 2001 Heterogeneity of Investors and Asset Pricing in a Risk-Value World
    by Günter Franke & Martin Weber
  • 2001 Empirical Performance of the Czech and Hungarian Index Options under Jump
    by Lee, Gabriel S. & Boss, Michael & Klisz, Chris
  • 2001 Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter
    by Dupont, Dominique Y.
  • 2001 Hedging Barrier Options: Current Methods and Alternatives
    by Dupont, Dominique Y.
  • 2001 The Valuation of Corporate Liabilities: Theory and Tests
    by Reneby, Joel & Ericsson, Jan
  • 2001 An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy
    by Nivorozhkin, Eugene
  • 2001 A Finite Element Implementation of Passport Options
    by Topper, Jürgen
  • 2001 Worst Case Pricing of Rainbow Options
    by Topper, Jürgen
  • 2001 Liquidity and Credit Risk
    by Jan ERICSSON & Olivier RENAULT
  • 2001 Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing
    by Evis KËLLEZI, & Giorgio PAULETTO
  • 2001 Defaultable Security Valuation and Model Risk
    by Aydin AKGUN,
  • 2001 Informed Option Trading Strategies
    by de Jong, C.M.
  • 2001 Constrained indirect inference estimation
    by Giorgio Calzorali & Gabriele Fiorentini & Enrique Sentana
  • 2001 Un modèle de structure par terme des prix des matières premières avec comportement asymétrique du rendement d'opportunité
    by Galli, Alain & Lautier, Delphine
  • 2001 Arbitrage pricing and equilibrium pricing : compatibility conditions
    by Napp, Clotilde & Jouini, Elyès
  • 2001 The martingales: theoretical and empirical characteristics
    by Fabrizio Erbetta & Luca Agnello
  • 2001 Arbitraging mispriced assets with separation portfolios to lessen total risk
    by Rodolfo Apreda
  • 2001 Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information
    by Darsinos, T. & Satchell, S.E.
  • 2001 International Asset Allocation: A New Perspective
    by Abraham Lioui & Patrice Poncet
  • 2001 Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations
    by Fabio Fornari & Antonio Mele
  • 2001 Minimax and minimal distance martingale measures and their relationship to portfolio optimization
    by Thomas Goll & Ludger Rüschendorf
  • 2001 Black and Scholes pricing and markets with transaction costs: An example
    by Haim Reisman
  • 2001 Stochastic flows and the forward measure
    by Robert J. Elliott & John van der Hoek
  • 2001 A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
    by Damiano Brigo & Fabio Mercurio
  • 2001 The numeraire portfolio for unbounded semimartingales
    by Dirk Becherer
  • 2001 Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
    by Carl Chiarella & Oh Kang Kwon
  • 2001 Applications of Malliavin calculus to Monte-Carlo methods in finance. II
    by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux
  • 2001 Coherent risk measures and good-deal bounds
    by Stefan Jaschke & Uwe Küchler
  • 2001 Information Content of Implied Probability Distributions: Empirical Studies of Japanese Stock Price Index Options
    by Shiratsuka, Shigenori
  • 2001 Interest-Rate Swaps and Arbitrage
    by Jiøí Málek
  • 2001 Spanish stock market structure and the introduction of the derivate securities on the IBEX-35 index
    by José Emilio Farinós Viñas & Matilde Fernández Blanco
  • 2001 Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets
    by Ping Li & Jianming Xia & Jia-an Yan
  • 2000 Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts
    by Byström, Hans
  • 2000 The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool
    by Byström , Hans
  • 2000 Coalition-Proof Implementation of Competitive Equilibria on a Constrained Reinsurance Market
    by Bernis, G. & Giraud, G.
  • 2000 Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ?
    by Capelle-Blancard, G. & Vandelanoite, S.
  • 2000 Style Investing
    by Barberis, N. & Shleifer, A.
  • 2000 Excessive Continuation and Dynamic Agency Costs of Debt
    by Decamps, J.-P. & Faure-Grimaud, A.
  • 2000 On the Information Content of Futures Prices, Application to LME Nonferrous Metal Futures
    by MARTINOT, N. & Lesourd, J.-B. & Morard, B.
  • 2000 Continuous-Time Methods in Finance: A Review and an Assessment
    by Sundaresan, S.M.
  • 2000 An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999
    by Campa, J.M. & Chang, P.H.K. & Refalo, J.F.
  • 2000 Reaching Equilibrium in the Capital Asset Pricing Model
    by Flam, S.D.
  • 2000 Bayesian Option Pricing using Asymmetric Garch Models
    by Bauwens, L. & Lubrano, M.
  • 2000 Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives
    by Bertrand, P. & lesne, J.-P. & Prigent, J.-L.
  • 2000 The Government and Market Expectations
    by Guesnerie, R.
  • 2000 A discrete stochastic model for investment with an application to the transaction costs case
    by Carassus, Laurence & Jouini, Elyès
  • 2000 Option Valuation under Stochastic Volatility
    by Alan L. Lewis
  • 2000 Risk premia and financial modelling without measure transformation
    by Platen, Eckhard
  • 2000 A minimal financial market model
    by Platen, Eckhard
  • 2000 Risk Premia and Financial Modelling Without Measure Transformation
    by Eckhard Platen
  • 2000 Examining Intraday Returns with Buy/Sell Information
    by Shin-Juh Lin & Jian Yang
  • 2000 An EVT Approach to calculating Risk Capital Requirements
    by Chris Brooks & Gita Persand & Andrew D. Clare
  • 2000 Value at Risk and Market Crashes
    by Chris Brooks & Gita Persand
  • 2000 Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains
    by Kyriakos Chourdakis
  • 2000 Option Pricing under Discrete Shifts in Stock Returns
    by Kyriakos Chourdakis & Elias Tzavalis
  • 2000 Option Pricing with a Dividend General Equilibrium Model
    by Kyriakos Chourdakis & Elias Tzavalis
  • 2000 Cephalon, Inc. Taking Risk Management Theory Seriously
    by George Chacko & Peter Tufano & Geoffrey Verter
  • 2000 Nonparametric Risk Management and Implied Risk Aversion
    by Yacine Ait-Sahalia & Andrew W. Lo
  • 2000 The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis
    by Christian Pierdzioch
  • 2000 Noise Traders'Trigger Rates, FX Options, and Smiles
    by Christian Pierdzioch
  • 2000 Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market
    by Byström , Hans
  • 2000 On the construction of finite dimensional realizations for nonlinear forward rate models
    by Björk, Tomas & Landen, Camilla
  • 2000 A Geometric View of Interest Rate Theory
    by Björk, Tomas
  • 2000 On the Term Structure of Futures and Forward Prices
    by Björk, Tomas & Landen, Camilla
  • 2000 Informed Trading, Short Sales Constraints, and Futures' Pricing
    by Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö
  • 2000 Paying for minimum interest rate guarantees: Who should compensate who?
    by Jensen, Bjarne Astrup & Sørensen, Carsten
  • 2000 Informed Trading, Short Sales Constraints and Futures' Pricing
    by Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö
  • 2000 A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans
    by Jokivuolle, Esa & Peura, Samu
  • 2000 From Skews to a Skewed-t
    by de Jong, C.M. & Huisman, R.
  • 2000 Uncertainty and Real Options. Investment and Development of Fishing Resources (II)
    by Murillas Maza, Arantza
  • 2000 Uncertainty and Real Options. Investment and Development of Fishing Resources (I)
    by Murillas Maza, Arantza
  • 2000 Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An
    by Campa, Jose M. & Chang, Kevin & Refalo, James F.
  • 2000 The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
    by Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B.
  • 2000 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
    by Jiang, G.J. & Sluis, P.J. van der
  • 2000 Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
    by Jong, F.C.J.M. de & Driessen, J.J.A.G. & Pelsser, A.
  • 2000 Hedging Double Barriers with Singles
    by Sbuelz, A.
  • 2000 Is Leverage Effective in Increasing Performance Under Managerial Moral Hazard?
    by Calcagno, R.
  • 2000 Option Pricing via Utility Maximization in the presence of Transaction Costs: an Asymptotic Analysis
    by Bouchard, Bruno
  • 2000 Price functionals with bid–ask spreads : an axiomatic approach
    by Jouini, Elyès
  • 2000 Explicit Solution of the Multivariate Super-Replication Problem under Transaction Costs
    by Bouchard, Bruno & Touzi, Nizar
  • 2000 An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil’s Real Plan, 1994-1999
    by Campa, José Manuel & Chang, Kevin & Refalo, James F
  • 2000 Excessive continuation and Dynamic Agency Costs of Debt
    by Décamps, Jean Paul & Faure-Grimaud, Antoine
  • 2000 The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
    by Eric Ghysels & Junghoon Seon
  • 2000 A Tree Implementation of a Credit Spread Model for Credit Derivatives
    by Philipp J. Schönbucher
  • 2000 Factor Models for Portofolio Credit Risk
    by Philipp J. Schönbucher
  • 2000 A Libor Market Model with Default Risk
    by Philipp J. Schönbucher
  • 2000 The Term Structure of Implied Volatility
    by Alan L. Lewis
  • 2000 The Fundamental Transform (Excerpt)
    by Alan L. Lewis
  • 2000 Introduction and Summary of Results (Excerpt)
    by Alan L. Lewis
  • 2000 Local martingales, arbitrage, and viability
    by Mark Loewenstein & Gregory A. Willard
  • 2000 Game options
    by Yuri Kifer
  • 2000 A simple regime switching term structure model
    by Asbjørn T. Hansen & Rolf Poulsen
  • 2000 Markov-functional interest rate models
    by Joanne Kennedy & Phil Hunt & Antoon Pelsser
  • 2000 Bond pricing in a hidden Markov model of the short rate
    by Camilla LandÊn
  • 2000 Robustness of the Black-Scholes approach in the case of options on several assets
    by Tiziano Vargiolu & Silvia Romagnoli
  • 2000 Options on a traded account: Vacation calls, vacation puts and passport options
    by Steven E. Shreve & Jan Vecer
  • 2000 Incompleteness of markets driven by a mixed diffusion
    by N. Bellamy & M. Jeanblanc
  • 2000 Discrete time option pricing with flexible volatility estimation
    by Christian M. Hafner & Wolfgang HÄrdle
  • 2000 Superreplication in stochastic volatility models and optimal stopping
    by RØdiger Frey
  • 2000 Efficient hedging: Cost versus shortfall risk
    by Hans FÃllmer & Peter Leukert
  • 2000 Pricing double barrier options using Laplace transforms
    by Antoon Pelsser
  • 2000 Convergence of discrete time option pricing models under stochastic interest rates
    by O. Scaillet & J.-L. Prigent & J.-P. Lesne
  • 2000 Local time, coupling and the passport option
    by Vicky Henderson & David Hobson
  • 2000 A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
    by O. Renault & O. Scaillet & B. Leblanc
  • 2000 Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser
    by C.H. Hui & P.H. Yuen & C.F. Lo
  • 2000 Opciones de Suscripción de Acciones Stock Rights
    by Patricia Jurfest & Salvador Zurita
  • 2000 Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process
    by Jia-an Yan & Qiang Zhang & Shuguang Zhang
  • 2000 Water Management in France: Delegation and Irreversibility
    by Ephraim Clark & Gérard Mondello
  • 1999 On the Log-Return Distribution of Index Benchmarked Share Prices
    by Eckhard Platen
  • 1999 A Minimal Share Market Model with Stochastic Volatility
    by Eckhard Platen
  • 1999 Return-Volume Dynamics in UK Futures
    by David McMillan & Alan Speight
  • 1999 Innovation and Market Value
    by Hall, B.H.
  • 1999 Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information
    by Kim, S.-J. & Sheen, J.
  • 1999 Pricing Foreign Currency and Cross-Currency Options Under GARCH
    by Wei, J.Z. & Duan, J.C.
  • 1999 Pricing Foreign Currency and Cross-Currency Options Under GARCH
    by Wei, J.Z. & Duan, J.C.
  • 1999 Empirical Tests of an Option Price Inversion Approach
    by McIntyre, M.
  • 1999 Empirical Tests of an Option Price Inversion Approach
    by McIntyre, M.
  • 1999 Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40
    by Capelle-Blancard, G. & Jurczenko, E.
  • 1999 Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40
    by Capelle-Blancard, G. & Jurczenko, E.
  • 1999 The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach
    by Aspandilarov, S. & Bottazzi, J.-M.
  • 1999 The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach
    by Aspandilarov, S. & Bottazzi, J.-M.
  • 1999 On the Different Notions of Arbitrage and Existence of Equilibrium
    by Dana, R.-A. & Le Van, C. & Magnien, F.
  • 1999 On the Different Notions of Arbitrage and Existence of Equilibrium
    by Dana, R.-A. & Le Van, C. & Magnien, F.
  • 1999 Evolution of Market Uncertainty around Earnings Announcements
    by Isakov, D. & Perignon, C.
  • 1999 Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar
    by Huberman, G. & Regev, T.
  • 1999 Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar
    by Huberman, G. & Regev, T.
  • 1999 Prevision des prix a terme du cacao et modeles ARMA non-lineaires
    by Bolgot, S. & Terraza, M.
  • 1999 Alternative solutions of the black-sholes equation
    by Hortensia Fontanals Albiol & Ramon Lacayo & Josep Vives
  • 1999 Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
    by Hafner, Christian M. & Herwartz, Helmut
  • 1999 Efficient hedging: Cost versus shortfall risk
    by Föllmer, Hans & Leukert, Peter
  • 1999 Closed form integration of artificial neural networks with some applications
    by Gottschling, Andreas & Haefke, Christian & White, Halbert
  • 1999 Digital Contracts: Simple Tools for Pricing Complex Derivatives
    by Jonathan E. Ingersoll Jr.
  • 1999 Do Call Prices and the Underlying Stock Always Move in the Same Direction?
    by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen
  • 1999 A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)
    by Tomasz Garlinski & Rafal Weron
  • 1999 Utility based pricing of contingent claims
    by A. Gamba & P. Pellizzari
  • 1999 Credit Enhancement through Financial Engineering: Freeport-McMoRan's Gold-Denominated Depository Shares
    by N. K. Chidambaran & Chitru S. Fernando & Paul A. Spindt
  • 1999 Local volatility changes in the black-scholes model
    by Hans Peter Bermin & Arturo Kohatsu
  • 1999 A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design
    by Hugues Pirotte
  • 1999 Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates
    by Hugues Pirotte
  • 1999 Australian Banking Risk: The Stock Market’s Assessment and the Relationship Between Capital and Asset Volatility
    by Marianne Gizycki & Brenton Goldsworthy
  • 1999 Predicting monetary policy using federal funds future prices
    by Söderström, Ulf
  • 1999 On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models
    by Björk, Tomas & Svensson, Lars
  • 1999 A Note on Contingent Claims Pricing with Non-Traded Assets
    by Ericsson, Jan & Reneby, Joel
  • 1999 Predicting monetary policy using federal funds futures prices
    by Söderström, Ulf
  • 1999 Die Berechnung von Passport-Optionen mit Finiten Elementen
    by Topper, Jürgen
  • 1999 A Semiparametric Estimation of Liquidity Effects on Option Pricing
    by Ferreira García, María Eva & Gago, Mónica & Rubio Irigoyen, Gonzalo
  • 1999 The Development of the State Bond Market
    by Ivanter Alexander & Peresetsky Anatoly
  • 1999 The Joint Estimation of Term Structures and Credit Spreads
    by Patrick Houweling & Jaap Hoek & Frank Kleibergen
  • 1999 Performance of Delta-hedging strategies in interval models - A robustness study
    by Roorda, B. & Engwerda, J.C. & Schumacher, J.M.
  • 1999 Pricing of non-redundant derivatives in a complete market
    by Jouini, Elyès & Bizid, Abdelhamid & Koehl, Pierre-François
  • 1999 Viability and equilibrium in securities markets with frictions
    by Jouini, Elyès & Kallal, Hedi
  • 1999 Option Pricing with Discrete Rebalancing
    by Prigent, J.-L. & Renault, O. & Scaillet, O.
  • 1999 Asymmetries of information in centralized order-driven markets
    by Boccard, N. & Calcagno, R.
  • 1999 UDROP: A Small Contribution to the New International Financial Architecture
    by Buiter, Willem H & Sibert, Anne
  • 1999 A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    by Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen
  • 1999 The Valuation of Volatility Options
    by Jérôme B. Detemple & Carlton Osakwe
  • 1999 The Pricing of Derivatives on Assets with Quadratic Volatility
    by Christian Zuehlsdorff
  • 1999 Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk
    by Dietmar P.J. Leisen
  • 1999 Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
    by Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl
  • 1999 Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
    by Knight, John & Li, Fuchun & Yuan, Mingwei
  • 1999 Some recent developments in capital market theory: A survey
    by Richard C. Stapleton
  • 1999 On dynamic measures of risk
    by Ioannis Karatzas & Jaksa Cvitanic
  • 1999 Minimal realizations of interest rate models
    by Tomas BjÃrk & Andrea Gombani
  • 1999 Applications of Malliavin calculus to Monte Carlo methods in finance
    by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi
  • 1999 Convergence of strategies: An approach using Clark-Haussmann's formula
    by Jan Pedersen
  • 1999 Exercise regions of American options on several assets
    by Stephane Villeneuve
  • 1999 Quantile hedging
    by Hans FÃllmer & Peter Leukert
  • 1999 Connecting discrete and continuous path-dependent options
    by Paul Glasserman & S.G. Kou & Mark Broadie
  • 1999 A closed-form solution to the problem of super-replication under transaction costs
    by HuyËn Pham & Nizar Touzi & Jaksa Cvitanic
  • 1999 Opcióárazás numerikus módszerekkel
    by Benedek, Gábor
  • 1999 Market Price Analysis and Risk Management for Convertible Bonds
    by Ohtake, Fuminobu & Oda, Nobuyuki & Yoshiba, Toshinao
  • 1999 Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets
    by Nakamura, Hisashi & Shiratsuka, Shigenori
  • 1999 Currency Options And Trade Smoothing Under An Exchange Rate Regime Shift
    by Alexis Derviz
  • 1999 In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World
    by Robert A. Jarrow
  • 1998 How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?
    by Hugues Pirotte & Didier Cossin
  • 1998 Temporal Aggregation, Volatiilty Components and Volume in HIgh Frequency UK Bond Futures
    by David G McMillan & Alan EH Speight
  • 1998 Variance Decomposition of Stock Returns and Dividend Imputation System
    by Wu, P.X.
  • 1998 Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data
    by Booth, L.
  • 1998 Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data
    by Booth, L.
  • 1998 Dynamics of the term structure on interest rates: a two-factor model
    by Hortensia Fontanals Albiol & Merche Galisteo & Lourdes Gomez del Valle
  • 1998 Quantile hedging
    by Föllmer, Hans & Leukert, Peter
  • 1998 Pricing and Hedging Long-Term Options
    by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen
  • 1998 Self-similar models in risk theory
    by Krzysztof Burnecki
  • 1998 Do Brokers Misallocate Customer Trades? Evidence From Futures Markets
    by Hun Y. Park & Asani Sarkar & Lifan Wu
  • 1998 Autobiography
    by Scholes, Myron S.
  • 1998 Autobiography
    by Merton, Robert C.
  • 1998 Is after-hours trading informative?
    by Ulibarri, Carlos A.
  • 1998 Optimal Investment, Growth Options, and Security Returns
    by Jonathan Berk & Richard C. Green & Vasant Naik
  • 1998 Finite Element Modelling of Exotic Options
    by Topper, Jürgen
  • 1998 A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation
    by Anderson, Ronald & Sundaresan, Suresh
  • 1998 Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models
    by Bams, Dennis & Schotman, Peter C
  • 1998 Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
    by Coutant, Sophie & Jondeau, Eric & Rockinger, Michael
  • 1998 Extracting Expectations about 1992 UK Monetary Policy from Option Prices
    by Söderlind, Paul
  • 1998 What Data Should Be Used to Price Options?
    by Mikhail Chernov & Eric Ghysels
  • 1998 Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
    by Charles Cao & Eric Ghysels & Frank Hatheway
  • 1998 Building a Consistent Pricing Model from Observed Option Prices
    by Laurent, Jean-Paul & Dietmar P.J. Leisen
  • 1998 Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets
    by Daniel Sommer
  • 1998 Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options
    by Nielsen, J.A. & Sandmann, K.
  • 1998 Estimating Gram-Charlier Expansions with Positivity Constraints
    by Jondeau, E. & Rockinger, M.
  • 1998 Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election
    by Coutant, S. & Jondeau, E. & Rockinger, M.
  • 1998 Lévy processes in finance: a remedy to the non-stationarity of continuous martingales
    by Marc Yor & Boris Leblanc
  • 1998 Option pricing with transaction costs and a nonlinear Black-Scholes equation
    by Halil Mete Soner & Guy Barles
  • 1998 Path dependent options on yields in the affine term structure model
    by Olivier Scaillet & Boris Leblanc
  • 1998 Robust hedging of the lookback option
    by David G. Hobson
  • 1998 Functional convergence of Snell envelopes: Applications to American options approximations
    by Maurizio Pratelli & Sabrina Mulinacci
  • 1998 Implied interest rate pricing models
    by J.E. Kennedy & P.J. Hunt
  • 1998 Local martingales and the fundamental asset pricing theorems in the discrete-time case
    by J. Jacod & A.N. Shiryaev
  • 1998 Hedging American contingent claims with constrained portfolios
    by Ioannis Karatzas & (*), S. G. Kou
  • 1998 Volatility of the short rate in the rational lognormal model
    by Lisa R. Goldberg
  • 1998 Perfect option hedging for a large trader
    by RØdiger Frey
  • 1997 Looking for Spot in the Presence of Futures
    by Krishna Ramaswamy & Patrick Waldron
  • 1997 Swap Credit Risk: An Empirical Investigation on Transaction Data
    by Hugues Pirotte & Didier Cossin
  • 1997 The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options
    by Bruce Mizrach
  • 1997 Bayesian Arbitrage Threshold Analysis
    by Forbes, C.S. & Kalb, G.R.J. & Kofman, P.
  • 1997 Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets
    by Itzhak Krinsky & Jason Lee
  • 1997 Market Expectations in the UK Before and After the ERM Crisis
    by Söderlind, Paul
  • 1997 Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex
    by Perignon, C.
  • 1997 Option Pricing with a General Market Point Process
    by Prigent, J.L.
  • 1997 Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case
    by Prigent, J.L.
  • 1997 Convergence of Discrete Time Options Pricing Models under Stochastic Rates
    by Lesne, J.P. & Prigent, J.L. & Scaillet, O.
  • 1997 An Equilibrium Model with Restricted Stock Market Participation
    by Basak, S & Cuoco, D
  • 1997 Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee
    by Carassus, L. & Jouini, E.
  • 1997 The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
    by Hawawini, G. & Keim, D.B.
  • 1997 Pricing the Gamble for Resurrection and the Consequences of Renegotiation and Debt Design
    by Decamps, J.-P. & Faure-Grimaud, A.
  • 1997 How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement
    by Stout, L.A.
  • 1997 Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex
    by Perignon, C.
  • 1997 Is Beta Still Alive? Conclusive Evidence from the Swiss Stock market
    by Isakov, D.
  • 1997 Foreign Ownership Restrictions and Equity price Premiums: Explaining the High Cost of International Diversification
    by Bailey, W. & Peter, C.Y. & Jun-Koo, K.
  • 1997 Asymmetric Price Distribution and Bid-Ask Quotes in the stock options Market
    by Chan, K. & Peter, C.Y.
  • 1997 Bayesian Option Pricing Using Asymmetric GARCH
    by Bauwens, L. & Lubrano, M.
  • 1997 A Decision Theoretic Approach to Bid-Ask Spreads
    by Kast, R. & Lapied, A.
  • 1997 Incomplete markets, transaction costs and liquidity effects
    by Jouini, Elyès & Touzi, Nizar & Koehl, Pierre-François
  • 1997 Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds
    by Sommer, Daniel
  • 1997 A variational approach for pricing options and corporate bonds
    by Jean-Charles Rochet & Jean-Paul DÊcamps
  • 1997 Empirical Performance of Alternative Option Pricing Models
    by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen
  • 1997 PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios
    by Boleslav Gulko
  • 1997 Empirical Performance of Alternative Option Pricing Models
    by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen
  • 1997 No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio
    by Claus Munk
  • 1997 The Random-Time Binomial Model
    by Dietmar P.J. Leisen
  • 1997 Options on a Stock with Market-Dependent Volatility
    by J. Chalupa
  • 1997 The Random Yield Curve and Interest Rate Options
    by Meifang Chu
  • 1997 Multifactor Generalization of "Discount-Bond Derivatives on a Recombining Binomial Tree"
    by J. Chalupa
  • 1997 Discount-Bond Derivatives on a Recombining Binomial Tree
    by J. Chalupa
  • 1997 On the relevance of modeling volatility for pricing purposes
    by Manuel Moreno
  • 1997 Derivatives in a Dynamic Environment
    by Scholes, Myron S.
  • 1997 Applications of Option-Pricing Theory: Twenty-Five Years Later
    by Merton, Robert C.
  • 1997 Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability
    by Melanie Cao
  • 1997 Equilibrium Valuation of Currency Options in a Small Open Economy
    by Melanie Cao
  • 1997 Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model
    by Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo
  • 1997 Optimal Risk Management Using Options
    by Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw
  • 1997 The Forecasting Ability of Correlations Implied in Foreign Exchange Options
    by Jose M. Campa & P. H. Kevin Chang
  • 1997 Heterogeneous Information Arrival and Option Pricing
    by Patrick K. Asea & Mthuli Ncube
  • 1997 An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model
    by Sanjiv Ranjan Das
  • 1997 The Significance of the Market Portfolio
    by Stefano Athanasoulis & Robert J. Shiller
  • 1997 Minimal Realizations of Forward Rates
    by Björk, Tomas & Gombani, Andrea
  • 1997 Exchange rate target zones: A new approach
    by Jong, F.C.J.M. de & Drost, F.C. & Werker, B.J.M.
  • 1997 New Evidence on Price and Volatility Effects of Stock Option Introductions
    by Kabir, M.R.
  • 1997 Analyzing specification errors in models for futures risk premia with hedging pressure
    by Roon, F.A. de & Nijman, T.E. & Veld, C.H.
  • 1997 Variance Optimal Cap Pricing Models
    by Laurent, J.P. & Scaillet, O.
  • 1997 Multiregime Term Structure Models
    by Gouriéroux, C. & Scaillet, O.
  • 1997 Debt Valuation and Marketability Risk
    by Tychon, Pierre & Vannetelbosch, Vincent J.
  • 1997 Optimal Determination of Bookmakers' Betting Odds: Theory and Tests
    by Fingleton, John & Waldron, Patrick
  • 1997 New Techniques to Extract Market Expectations from Financial Instruments
    by Söderlind, Paul & Svensson, Lars E O
  • 1997 Manipulation of Metals Futures: Lessons from Sumitomo
    by Gilbert, Christopher L
  • 1997 Bayesian option pricing using asymmetric GARCH
    by BAUWENS, LUC & LUBRANO, Michel
  • 1997 Nonparametric Methods and Option Pricing
    by Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès
  • 1997 Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility
    by Frey, Rüdiger
  • 1997 The Random-Time Binomial Model
    by Leisen, Dietmar
  • 1997 A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates
    by Schloegl, Erik & Lutz Schloegl
  • 1997 Factor Models and the Shape of the Term Structure
    by Schloegl, Erik & Daniel Sommer
  • 1997 Models of Compelxity in Economics and Finance
    by Brock, W.A. & Hommes, C.H.
  • 1997 General trigger values of optimal investment
    by VANDENBROUCKE, Jürgen
  • 1997 Fast accurate binomial pricing
    by L.C.G. Rogers & E.J. Stapleton
  • 1997 A note on the forward measure
    by Mark Davis
  • 1997 A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
    by Beniamin Goldys
  • 1997 Option pricing in the presence of natural boundaries and a quadratic diffusion term (*)
    by Sven Rady
  • 1997 LIBOR and swap market models and measures (*)
    by Farshid Jamshidian
  • 1997 A note on the existence of unique equivalent martingale measures in a Markovian setting
    by Tina Hviid Rydberg
  • 1997 On Leland's strategy of option pricing with transactions costs
    by Yuri M. Kabanov & (*), Mher M. Safarian
  • 1997 Weighted norm inequalities and hedging in incomplete markets
    by Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer
  • 1997 On the range of options prices (*)
    by Ernst Eberlein & Jean Jacod
  • 1996 Optimal Determination of Bookmakers' Betting Odds: Theory and Tests
    by John Fingleton & Patrick Waldron
  • 1996 Did Option Prices Predict the ERM Crises?
    by Bruce Mizrach
  • 1996 Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements
    by J.B. Kim & I. Krinsky & J. Lee
  • 1996 New Techniques to Extract Market expectations from Financial Instruments
    by Söderlind, Paul & Svensson, Lars E.O.
  • 1996 Interest Rate Theory - CIME Lectures 1996
    by Björk, Tomas
  • 1996 The Short Term Price Performance of Initial Public Offerings of Common Stock: Australia 1991-1994
    by Kearney, C. & Sadeghi, M.
  • 1996 Volatility in the Nikkei Stock Market Index; Causes and International Transmission
    by Kearney, C. & Kelly, B.
  • 1996 Market Risk, Corporate Governance & the Regulation of Financial Firms
    by Casson, P.
  • 1996 EU Capital Requirements and the Level Playing Field
    by Dale, R. & Wolfe, S.
  • 1996 Approximating the Asset Pricing Kernel
    by Chapman, D.A.
  • 1996 A Market-Based Evaluation of Discretionary-Accrual Models
    by Guay, W. & Kothari, S.P. & Watts, R.L.
  • 1996 The Analysis of VAR, Deltas and State Prices: A New Approach
    by Grundy, B.D. & Wiener, Z.
  • 1996 The Stability of ARCH Models Across Australian Financial Markets
    by Lee, J. & Brooks, R.
  • 1996 The Impact of the Return Interval on The estimation of Systematic Risk in Australia
    by Jesev, T. & Brailsford, T.
  • 1996 Forecasting the S&P500: A Disequilibrium Indicator
    by Davidson, S. & Meyer, S.
  • 1996 Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period
    by Faff, R. & Brooks, R.
  • 1996 A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence
    by Alziary, B. & Decamps, J-P. & Koehl, P-F.
  • 1996 Do Noise Traders Influence Stock Prices
    by Kelly, M.
  • 1996 Pricing American-Style Securities Using Simulation
    by Broadie, M. & Glasserman, P.
  • 1996 Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures
    by Theobald, M. & Yallup, P.
  • 1996 The Timing of Arbitrage: An Option Approach
    by Lambrecht, B.
  • 1996 Endogenous uncertainty in a general equilibrium model with price contingent contracts (*)
    by Ho-Mou Wu & Mordecai Kurz
  • 1996 Equilibrium Valuation of Foreign Exchange Claims
    by Gurdip S. Bakshi & Zhiwu Chen
  • 1996 An Alternative Valuation Model for Contingent Claims
    by Gurdip S. Bakshi & Zhiwu Chen
  • 1996 The Pricing of Foreign Currency Futures Options
    by Chang Mo Ahn
  • 1996 Equilibrium Valuation of Foreign Exchange Claims
    by Gurdip S. Bakshi & Zhiwu Chen
  • 1996 Randomization and the American Put
    by Peter Carr
  • 1996 Option Valuation and the Price of Risk
    by John Chalupa
  • 1996 Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation
    by J. S. Butler & Barry Schachter
  • 1996 Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model
    by Ram Bhar & Carl Chiarella
  • 1996 A two-mean reverting-factor model of the term structure of interest rates
    by Manuel Moreno
  • 1996 Optimal regulation of a fully insured deposit banking system
    by Xavier Freixas & Emmanuelle Gabillon
  • 1996 Markets with endogenous uncertainty: theory and policy
    by Chichilnisky, Graciela
  • 1996 Noncommercial Trading in the Energy Futures Market
    by Dale, Charles & Zyren, John
  • 1996 Implied Volatility Functions: Empirical Tests
    by Bernard Dumas & Jeff Fleming & Robert E. Whaley
  • 1996 Towards a General Theory of Bond Markets
    by Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang
  • 1996 Stock Options as Barrier Contingent Claims
    by Ericsson, Jan & Reneby, Joel
  • 1996 Diversified Portfolios in Continuous Time
    by Björk, Tomas & Näslund, Bertil
  • 1996 Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market
    by Jong, F.C.J.M. de & Donders, M.W.M.
  • 1996 Numerical analysis of strategic contingent claims models
    by Anderson, Ronald W. & Tu, Cheng
  • 1996 Default risk in asset pricing
    by Mella-Baral, Pierre & Tychon, Pierre
  • 1996 Implied Volatility Functions: Empirical Tests
    by Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E
  • 1996 American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
    by Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès
  • 1996 Nonparametric Estimation of American Options Exercise Boundaries and Call Prices
    by Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès
  • 1996 Arbitrage Based Pricing When Volatility Is Stochastic
    by Peter Bossaert & Eric Ghysels & Christian Gouriéroux
  • 1996 Lognormality of Rates and Term Structure Models
    by Goldys, B. & M. Musiela & D. Sondermann
  • 1996 The Term Structure of Defaultable Bond Prices
    by Schönbucher, Philipp J.
  • 1996 Continuous-Time Term Structure Models
    by Musiela, Marek & Marek Rutkowski
  • 1996 The Pricing and Hedging of Options in Finitely Elastic Markets
    by Frey, Rüdiger
  • 1996 Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models
    by Leisen, Dietmar
  • 1996 Derivatives Activity at Troubled Banks
    by Joe Peek & Eric S. Rosengren
  • 1996 On a general class of one-factor models for the term structure of interest rates (*)
    by W.M. Schmidt
  • 1996 Kamatparitás lebegő és csúszó leértékeléses árfolyamrendszerben
    by Barabás, Gyula
  • 1996 Kamatkülönbség és árfolyam-várakozások az előre bejelentett kúszó árfolyamrendszerben
    by Darvas, Zsolt
  • 1995 Imperfect Information, Money and Economic Growth
    by Ho, W.H.
  • 1995 The Determination of Stock Market Volatility and Its International Transmission
    by Kearney, C.
  • 1995 Do Managed Futures Make Good Investments?
    by Edwards, F.R. & Park, J.M.
  • 1995 Mutual Funds and Financial Stability
    by Edwards, F.R.
  • 1995 Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World
    by Heal, G.
  • 1995 Separation and Hedging Results with State-Contingent Production
    by Chambers, R.G. & Quiggin, J.
  • 1995 Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities
    by Venditti, A.
  • 1995 Discrete Time Option Pricing with Bid-Ask Spreads
    by Kast, R. & Lapied, A.
  • 1995 Estimation of Continuous Time Models for Stock Returns and Interest Rates
    by Tauchen, George E. & Gallant, A. Ronald
  • 1995 Specification Analysis of Continuous Time Models in Finance
    by Gallant, A. Ronald & Tauchen, George E.
  • 1995 Arbitrage in securities markets with short-sales constraints
    by Jouini, Elyès & Kallal, Hedi
  • 1995 Martingales and arbitrage in securities markets with transaction costs
    by Kallal, Hedi & Jouini, Elyès
  • 1995 Approximation Pricing and the Variance-Optimal Martingale Measure
    by Schweizer, Martin
  • 1995 Convergence of Option Values under Incompleteness
    by Runggaldier, Wolfgang J. & Martin Schweizer
  • 1995 Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    by Yacine Ait-Sahalia & Andrew W. Lo
  • 1995 Testing Option Pricing Models
    by David S. Bates
  • 1995 Banks and Derivatives
    by Gary Gorton & Richard Rosen
  • 1995 A Framework for Valuing Corporate Securities
    by Ericsson, Jan & Reneby, Joel
  • 1995 Bond markets where prices are driven by a general marked point process
    by Björk, T. & Kabanov, Y. & Runggaldier, W.
  • 1995 Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts
    by Nielsen, J. Aase & Klaus Sandmann
  • 1995 The Pricing of Asian Options under Stochastic Interest Rates
    by Nielsen, J. A. & K. Sandmann
  • 1995 Market Volatility and Feedback Effects from Dynamic Hedging
    by Frey, Rüdiger & Alexander Stremme
  • 1995 Binomial Models for Option Valuation - Examining and Improving Convergence
    by Leisen, D. P. J. & M. Reimer
  • 1995 A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk
    by Frey, Rüdiger & Daniel Sommer
  • 1995 Equity-linked life insurance - a model with stochastic interest rates
    by Nielsen, J. Aase & Klaus Sandmann
  • 1995 A Discrete Time Approach for European and American Barrier Options
    by K. Sandmann & Reimer, M.
  • 1995 The Direct Approach to Debt Option Pricing
    by K. Sandmann & Sandmann, K.
  • 1994 On Smile and Skewness
    by Platen, Eckhard & Martin Schweizer
  • 1994 Closed form representations for the minimal hedging portfolios of American type contingent claims
    by A. N. Vishnyakov & Kramkov, D.O.
  • 1994 On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales
    by Christopeit, Norbert
  • 1994 Contingent Claims Valued And Hedged By Pricing And Investing In A Basis
    by Frank Milne & Dilip Madan
  • 1994 Implementing Option Pricing Models When Asset Returns Are Predictable
    by Andrew W. Lo & Jiang Wang
  • 1994 A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
    by James M. Hutchinson & Andrew W. Lo & Tomaso Poggio
  • 1994 Put-call parities and the value of early exercise for put options on a performance index
    by Roon, F.A. de & Veld, C.H.
  • 1994 The Valuation of American Options on Multiple Assets
    by Mark Broadie & Jérôme B. Detemple
  • 1994 American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
    by Mark Broadie & Jérôme B. Detemple
  • 1994 American Capped Call Options on Dividend Paying Assets
    by Mark Broadie & Jérôme B. Detemple
  • 1994 Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates
    by Miltersen, K. & K. Sandmann & D. Sondermann
  • 1994 Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
    by Kramkov, D.O.
  • 1994 On Short Rate Processes and Their Implications for Term Structure Movements
    by Schlögl, Erik & Daniel Sommer
  • 1994 Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates
    by D. Sondermann & K. Miltersen
  • 1994 On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures
    by D. Sondermann & Sandmann, K.
  • 1993 Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options
    by David S. Bates
  • 1993 Realignment Risk and Currency Option Pricing in Target Zones
    by Bernard Dumas & L. Peter Jennergren & Bertil Naslund
  • 1993 Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures
    by Robert J. Shiller
  • 1993 Optimal Hedging under Forward-Looking Behavior
    by Sergio H. Lence & Dermot J. Hayes
  • 1993 A Term Structure Model and the Pricing of Interest Rate Derivative
    by K. Sandmann & Sondermann, D.
  • 1993 On the use of the Black & Scholes model in a stochastic interest rate economy
    by Krister Rindell
  • 1992 Existence and optimality of equilibria in markets with tradeable derivative securities
    by Henrotte,Philippe
  • 1992 Unit root behavior in energy futures prices
    by Serletis, Apostolos
  • 1992 Option Introduction and Liquidity Changes in the OTC/NASDAQ Equity Market
    by Rich Fortin & Judy Maese
  • 1992 The Information Content of Prices in Derivative Security Markets
    by Louis O. Scott
  • 1992 On the behaviour of the Finnish stock index options markets
    by Vesa Puttonen
  • 1991 Option Pricing With V. G. Martingale Components
    by Frank Milne & Dilip Madan
  • 1991 Economics of Energy Futures Markets
    by Dale, Charles
  • 1990 The Multinomial Option Pricing Model and Its Brownian and Poisson Limits
    by Frank Milne & Dilip Madan & Hersh Shefrin
  • 1990 The Pricing Mechanism of Primary Commodities since the 1970s
    by Kuchiki, Akifumi
  • 1989 Minimum Chi-Square and Three-Stage Least Squares in Fixed Effects Models
    by Joshua Angrist
  • 1984 Manipulations and repeated games in future markets
    by Chichilnisky, Graciela
  • 1981 Measuring patterns of price movements in the Treasury bill futures market
    by Dale, Charles & Workman, Rosemarie
  • 1981 The Hedging Effectiveness of Currency Futures Markets
    by Dale, Charles
  • 1981 Usefulness of Treasury Bill Futures as Hedging Instruments
    by Cicchetti, Paul & Dale, Charles & Vignola, Anthony
  • 1980 The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications
    by Vignola, Anthony & Dale, Charles
  • 1980 The arc sine law and the treasury bill futures market
    by Dale, Charles & Workman, Rosemarie
  • 1979 Is the Futures Market for Treasury Bills Efficient?
    by Vignola, Anthony & Dale, Charles
  • The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries
    by Dirk Hackbarth & Jianjun Miao
  • The Stochastic Finite Element Method and Application in Option Pricing
    by Look, Stefan
  • Designing the Financial Tools to Promote Universal Free-Access to AIDS Care
    by Patrick Leoni & Stéphane Luchini
  • Design the Financial Tool to Promote Universal Free Access to AIDS Care
    by Patrick Leoni & Stéphane Luchini
  • Corporate Bond Valuation with Both Expected and Unexpected Default
    by Marco Realdon
  • Valuation of Put Options on Leveraged Equity
    by Marco Realdon
  • Convertible Subordinated Debt Valuation and "Conversion in Distress"
    by Marco Realdon
  • Valuation of Exchangeable Convertible Bonds
    by Marco Realdon
  • Coupon Bond Valuation with a Non-Affine Discount Yield Model
    by Peter D Spencer
  • Speculation and Hedging in the Currency Futures Markets: Are They Informative to the Spot Exchange Rates
    by Aaron Tornell & Chunming Yuan
  • Impact of Liquidity on the Futures–Cash Basis: Evidence from the Indian Market
    by Palani-Rajan Kadapakkam & Umesh Kumar
  • “Stock PIKs”- Taking a firm by its tails
    by Karan Bhanot & Antonio S. Mello
  • Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses
    by An-Sing Chen & Hui-Jyuan Gao & Mark Leung
  • Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets
    by Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse
  • The Impact of Trading Activity by Trader Types on Asymmetric Volatility in Nasdaq-100 Index Futures
    by Jullavut Kittiakaraskun & Yiuman Tse & George H.K. Wang
  • Does Index Speculation Impact Commodity Prices? An Intraday Futures Analysis Using intraday data, we find that unidirectional causality runs from commodity index linked commodity futures to non-index linked commodity futures for up to one hour but disappears when using daily data. Also, the economic significance of index to non-index commodity transmission declines to zero within about an hour. Finally, we find that the magnitude of index-to-non index returns relationships are positively related to the amount of speculation, both long and short, in the GSCI commodity index futures contract. We conclude that speculative pressures exerted by commodity index investors can impact non-index commodities. These results are likely not due to speculative pressure itself, but rather the subsequent price destabilizing trades of uninformed, positive feedback traders
    by Yiuman Tse & Michael Williams
  • The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September 2010. Carry trade and stock returns are highly correlated with no Granger-causality in either direction. An EGARCH model shows that significant volatility spillovers flow from the stock market to the carry trade market, but not vice versa. The markets are more correlated in periods of high volatility. Volatilities in both markets also increase more with negative innovations than positive innovations. A sectoral analysis of the index suggests that volatilities of cyclical stocks have more impact than non-cyclical stocks on carry trades
    by Yiuman Tse & Lin Zhao
  • 2012-02 Marginal abatement cost curves and carbon capture and storage options in Australia
    by Jason West
  • Credit Spread Specification and the Pricing of Spread Options
    by Nicolas Mougeot
  • La volatilité des prix du pétrole
    by Chevalier, Jean-Marie
  • Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
    by Russo, Francesco & Oudjane, Nadia & Goutte, Stéphane
  • A remark on Lin and Chang’s paper ‘Consistent modeling of S&P 500 and VIX derivatives
    by Jun CHENG & Meriton IBRAIMI & Markus LEIPPOLD & Jin E. ZHANG
  • Collateral Smile
    by Markus LEIPPOLD & Lujing SU
  • Detecting Informed Trading Activities in the Options Markets
    by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI
  • Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
    by Marc CHESNEY & Remo CRAMERI & Loriano MANCINI
  • The Value of Tradeability
    by Marc CHESNEY & Alexander KEMPF
  • Predictive Power of Information Market Prices
    by Maria PUTINTSEVA
  • Weak Approximation of G-Expectations
    by Yan DOLINSKY & Marcel NUTZ & Halil Mete SONER
  • Conditional Density Models for Asset Pricing
    by Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA
  • Ambiguity Aversion and the Term Structure of Interest Rates
    by Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani
  • Semi-Parametric Estimation of American Option Prices
    by Patrick Gagliardini & Diego Ronchetti
  • Martingale Representation Theorem for the G-expectation
    by Halil Mete SONER & Nizar TOUZI & Jianfeng ZHANG
  • Liquidity Models in Continuous and Discrete Time
    by Selim GOKAY & Alexandre F. ROCH & Halil Mete SONER
  • A Market Model for Stochastic Implied Volatility
    by Schönbucher, Philpp J.
  • Stock Evolution under Stochastic Volatility: A Discrete Approach
    by Leisen, Dietmar P.J.
  • Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data
    by Bent Jesper Christensen & Morten Ø. Nielsen